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An Evaluation of the Accuracy and Profitability of Machine Learning Algorithms in Predicting Stock Price.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	An Evaluation of the Accuracy and Profitability of Machine Learning Algorithms in Predicting Stock Price./
Author:	Abdelkader, Fadi.
Description:	1 online resource (147 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-02, Section: B.
Contained By:	Dissertations Abstracts International85-02B.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798379956691

An Evaluation of the Accuracy and Profitability of Machine Learning Algorithms in Predicting Stock Price.
Abdelkader, Fadi.

An Evaluation of the Accuracy and Profitability of Machine Learning Algorithms in Predicting Stock Price. - 1 online resource (147 pages)

Source: Dissertations Abstracts International, Volume: 85-02, Section: B.

Thesis (Ph.D.)--Northcentral University, 2023.

Includes bibliographical references

Automated Trading Systems (ATSs) are increasingly used in the stock markets due to their speed and accuracy. However, their use poses a risk of contributing to market crashes, and there is no standard approach to evaluating their decision-making process or performance. The study proposed a standardized approach for evaluating ATSs by examining the relationship between the algorithms' predicted price and predicted risk and the constructs of profitability and validity. The study introduced the Multiple-Attribute Utility Theory-based framework for consistently assessing ATS performance and validity for market trading. This study used a quantitative experimental approach to propose a framework for evaluating stock prediction algorithms and their potential to mitigate flash market crashes. The study analyzed eight machine learning models in 42 experiments driven by a 20-year dataset of ten US stocks using the Microsoft Azure cloud AutoML service. Experimental reliability and validity were investigated using statistical techniques such as test-retest, split-half, and interrater reliability. The results indicated that ATS trading significantly improves profitability compared to a buy-and-hold strategy. Further, the results reveal a significant difference in accuracy and profitability among algorithm classes, with ensemble algorithms outperforming individual models but being more compute-intensive. Finally, the results show that ATSs cannot detect the signals leading to flash crashes, highlighting the need for additional market controls. The research provides insights into ATSs' fairness, the profitability-cost trade-off, their impact on liquidity and economic stability, and the vulnerability of financial markets without controls to prevent flash crashes. The results of this study contributed to a greater understanding of ATSs and their impact on stock markets, paving the way for improved and safer stock markets for traders and economies.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379956691Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Automated Trading SystemsIndex Terms--Genre/Form:

554714
Electronic books.

An Evaluation of the Accuracy and Profitability of Machine Learning Algorithms in Predicting Stock Price.
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