Desenvolvimento de um método híbrido para negociações de ações na bolsa de valores brasileira

Detalhes bibliográficos
Ano de defesa: 2018
Autor(a) principal: Ebermam, Elivelto
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Federal do Espírito Santo
BR
Mestrado em Informática
Centro Tecnológico
UFES
Programa de Pós-Graduação em Informática
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
004
Link de acesso: http://repositorio.ufes.br/handle/10/10725
Resumo: The Brazilian stock market has attracted many investors and moves billions of Real daily. However, deciding when to buy or sell a stock is not an easy task because the market is hard to predict, being influenced by political and economic factors. Thus, methodologies based on computational intelligence have been applied to this task. However, most papers select an a priori stock or index to the application of a given method. The stock selection itself is already a challenging problem, since each market has several stocks. Thus, a multicriteria decision-making method such as the technique for order preference by similarity to ideal solution (TOPSIS) can be applied. In this work, every day the stocks are ranked by TOPSIS using technical analysis criteria, and the most suitable stock is selected for purchase. Even so, it may occur that the market is not favorable to purchase on certain days, or even, the TOPSIS make an incorrect selection.To increase the reliability of the selection, another method should be used. Thus, a hybrid model composed of empirical mode decomposition (EMD) and extreme learning machine (ELM) is used. The EMD decomposes the series into several sub-series, and thus the main (trend) component is extracted. This component is processed by the ELM, which performs the prediction of the next element of component. If the value predicted by the ELM is greater than the last value, then the purchase of the stock is confirmed. A second confirmation of the purchase can be made by negotiation rules of technical indicators. Individual indicators and combinations between two indicators were tested. The method was applied to 50 stocks in the Brazilian market. The selection made by TOPSIS showed promising results when compared to the random selection and the return generated by the Bovespa index. Confirmation with the EMD-ELM hybrid model was able to increase the percentage of profit tradings.