Maestría en Ciencias de los Datos y Analítica (tesis)
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Examinando Maestría en Ciencias de los Datos y Analítica (tesis) por Materia "ACCIONES (BOLSA)"
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Ítem Predicting Stock prices in Latin America using Associative Deep Neural Networks(Universidad EAFIT, 2023) Gallego Rojas, Juan Fernando; Almonacid Hurtado, Paula MaríaThe stock market is a critical sector of the global economy, and predicting stock prices is of great interest to investors and companies. However, the movements of the market are volatile, non-linear, and complicated. This topic has attracted the attention of researchers, who have proposed formal models that demonstrate accurate predictions can be made with appropriate variables and techniques. Deep learning algorithms are often used for this purpose due to their superior accuracy in time series-based and complex pattern analysis. This paper proposes to predict the opening, closing, highest, and lowest stock prices of select Latin American market indexes using associative deep neural networks that can simultaneously predict related values based on the Long Short Term Memory (LSTM) technique, known for its high accuracy in this area. As well as using classic econometric methods for the analysis of time series such as ARIMA models. The proposed model achieved a good performance in terms of prediction, which in turn allows finding interesting trading opportunities for investors. The results of the models were measured using the average RMSE of the predicted prices metric and compared with those obtained using a naive model.Ítem Stock Market Forecasting : Comparing Machine Learning and Deep Learning with Risk-Return Model Selection and Evaluation in a Walk-forward Approach(Universidad EAFIT, 2024) Castro Marín, Carlos Andrés; Olarte Hernández, Tomás; Olarte Hernández, TomásThis study compares the effectiveness of machine learning and deep learning algorithms in forecasting stock market direction using daily market data of Apple Inc. stock. We aim to determine if these algorithms can identify repeatable patterns across time using price and volume history and assess which are most capable. To ensure robustness, we employ a walk-forward validation approach to maintain the temporal dimension of the data and simulate real trading conditions. This method allows us to test models across different market conditions and measure their predictive power. We prioritize model selection and evaluation based on financial return and risk metrics, focusing on profitability rather than traditional machine learning performance metrics, which often do not correlate with financial outcomes. Our findings show that traditional machine learning algorithms, specifically Random Forest, outperform deep learning models under the selected asset and conditions tested. Machine learning models exceed the stock benchmark regarding Sharpe ratio, while deep learning models struggle to manage risk effectively, leading to poorer performance. This discrepancy is likely due to the complex solution space deep learning algorithms navigate to optimize and the amount of data required by these models. However, we hypothesize that the latter could improve its performance if tested with different architectures and hyperparameters, including newly developed transformer attention-based architectures and models such as TimeGPT and others, shown in the related work section.