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Using machine learning algorithms to find patterns in stock prices

  • Pedro N. Rodríguez
  • Simón Sosvilla-Rivero

We use a machine learning algorithm called Adaboost to find direction-of-change patterns for the S&P 500 index using daily prices from 1962 to 2004. The patterns are able to identify periods to take long and short positions in the index. This result, however, can largely be explained by first-order serial correlation in stock index returns.

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File URL: http://documentos.fedea.net/pubs/dt/2006/dt-2006-12.pdf
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Paper provided by FEDEA in its series Working Papers with number 2006-12.

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Date of creation: Jun 2006
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Handle: RePEc:fda:fdaddt:2006-12
Contact details of provider: Web page: http://www.fedea.net

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  1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  2. Jegadeesh, Narasimhan, 1990. " Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-98, July.
  3. Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
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