Abstract-Predicting stock exchange index is an attractive research topic in the field of machine learning. Numerous studies have been conducted using various techniques to predict stock market volume. This paper presents first detailed study on data of Karachi Stock Exchange (KSE) and Saudi Stock Exchange (SSE) to predict the stock market volume of ten different companies. In this study, we have applied and compared salient machine learning algorithms to predict stock exchange volume. The performance of these algorithms have been compared using accuracy metrics on the dataset, collected over the period of six months, by crawling the KSE and SSE website.Index Terms-Stock exchange prediction, machine learning, SVM, neural networks, Bayesian network, Ada-boost.