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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10791/287
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| Title: | MODELLING MARKET BEHAVIOUR WITH ENSEMBLES AND TECHNICAL INDICATORS |
| Authors: | STEELE, RYAN |
| Supervisor(s): | Dr. Larbi Esmahi (School of Computing and Information Systems) |
| Examining Committee: | Dr. Dunwei Wen (School of Computing and Information Systems)
Dr. Chunsheng Yang (National Research Council Canada) |
| Degree: | Master of Science, Information Systems (MScIS) |
| Department: | Faculty of Science and Technology |
| Keywords: | Market Event
Ensemble Models
Technical Analysis
Classification |
| Issue Date: | 1-Mar-2019 |
| Abstract: | This research investigated the ability of different classification ensemble models to predict the outcome of market events defined by a technical trading system. The ensemble classification models used a diverse set of technical indicators to measure various aspects of market sentiment at the time of market entry as determined by a technical trading system. This research found that various ensemble classification models differ in their ability to classify the nonlinear relationships of market behaviour and are able to perform better than random chance in most cases. |
| Graduation Date: | Mar-2019 |
| URI: | http://hdl.handle.net/10791/287 |
| Appears in Collections: | Theses & Dissertations
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