LAUSR

Investments in stock markets has called the attention of new investors by providing larger financial returns when compared to traditional investments, such as fixed income. However, this is a type of investment with a high degree of risk to which the investor must select a portfolio of stocks that combine maximised profit with minimised risk. Thus, correctly identifying the trends in stock prices with the help of a technique is critical for this investor. Computer intelligence techniques can be applied in this identification such as the rough sets theory. The rough sets theory was proposed as a mathematical model for knowledge representation and treatment of uncertainty, and it has been used subsequently in the development of techniques for classification in machine learning. The objective of this work was to apply rough sets in the selection of stocks for investment in the Sao Paulo Stock Exchange. The experiments were carried out with historical data extracted from the Sao Paulo Stock Exchange and the portfolio returns were compared with the Ibovespa Index, used as a benchmark. The results obtained positively point out to the application of rough sets in selecting stock portfolios for investment in the stock exchange.