4种数据挖掘典型分类方法在股票预测中的性能分析.pdfVIP

Vol. 34 No. 1 安徽工业大学学报( 自然科学版) 第34 卷 第1期 January 2017 J. of Anhui University of Technology(Natural Science) 2017 年 1月 文章编号：1671-7872(2017)01-0097-06 4 种数据挖掘典型分类方法在股票预测中的性能分析 张文俊，张永进 (安徽工业大学数理科学与工程学院，安徽马鞍山243032) 摘要：运用K-近邻、朴素贝叶斯、决策树、支持向量机这4 种数据挖掘算法，基于2015-04-01—2016-03-31A 股市场所有股票日 交易数据，计算10个具有代表性的传统技术分析指标，抽取合适样本，结合实际投资需求，构建4 个股票强涨跌分类器。对样 本数据进行测试，结果表明K-近邻具有较高的分类正确率，支持向量机具有较高的击中率。综合来看，K-近邻和支持向量机 更适合于实际投资。 关键词：数据挖掘；股票分类；量化投资；分类器 中图分类号：O 29 文献标志码：A doi:10.3969/j.issn. 1671-7872.2017.01.017 Performance Analysis of Four Typical Classification Methods of Data Mining in Stock Forecasting ZHANG Wenjun ，，ZHANG Yongjin (School of Mathematics Physics, Anhui University of Technology, Ma ’anshan 243032, China) Abstract: Four data mining algorithms are employed to build models, including K-nearest neighbors, naïve Bayes, decision tree and supported vector machine. Based on all a-share market stocks ’day trading data which is from April 1, 2015 to March 31, 2016, 10 representative traditional technical analysis parameters were calculated. By selecting appropriate samples, four classifiers were constructed combining with real investment demand and sample data was tested for predicting stock ’s ups and downs. Results show K- nearest neighbors classifier has higher classification accuracy and supported vector machine has higher sensitivity. On the whole, K-nearest neighbors and supported vector machine are more suitable for real investment. Key words: data mining; stock classification; quantitative investment; classifier 证券投资的主要方法有：技术分析、基本面分析及量化分析。近年来，量化投资在国内的发展迅速，同时 [1] 伴随大数据的兴起，数据挖掘技术在产业界也得到了广泛的关注 。量化投资模型的建立，首先对股市进行 信息统计分析，然后对量化