Data mining is being actively applied to stock market since 1980s. The various aspects of stock market to which data mining has been applied include predicting stock indices, predicting stock prices, portfolio management, portfolio risk management, trend detection, designing recommender systems etc. The various algorithms and methods which have been used for the same include neural networks, as...

In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

The purpose of this study was to investigate the role of non-financial information analysis and risk-return analysis along with financial information in increasing the selected banks and financial institutions of Tehran Stock Exchange portfolio efficiency. To evaluate the efficiency of the portfolio, the Treynor's ratio was used and attempted to determine the Treynor's ratio of the selected opt...

Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effect...

Abstract. This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates (e.g., stock returns...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a portfolio management goal. In this dissertation, the DEA technique has been used as a new and reliable way to select the stock opt...

A requirement analysis for a portfolio management in stock trading is presented. This provides a theoretical foundation for a stock trading system. The overall portfolio management tasks include eliciting user profiles, collecting information on the user’s initial portfolio position, monitoring the environment on behalf of the user, and making decision suggestions to meet the user’s investment ...

A KADS based requirement analysis for the management of stock trading portfolios is presented. This provides a theoretical foundation for a stock trading system. This system is designed around portfolio management tasks that include eliciting user profiles, collecting information on the user’s portfolio position, monitoring the environment on behalf of the user, and making decision suggestions ...