The publication of the Gaia Data Release 2 (Gaia DR2) opens a new era in Astronomy. It includes precise astrometric data (positions, proper motions and parallaxes) for more than $1.3$ billion sources, mostly stars. To analyse such a vast amount of new data, the use of data mining techniques and machine learning algorithms are mandatory. The search for Open Clusters, groups of stars that were born and move together, located in the disk, is a great example for the application of these techniques. Our aim is to develop a method to automatically explore the data space, requiring minimal manual intervention. We explore the performance of a density based clustering algorithm, DBSCAN, to find clusters in the data together with a supervised learning method such as an Artificial Neural Network (ANN) to automatically distinguish between real Open Clusters and statistical clusters. The development and implementation of this method to a $5$-Dimensional space ($l$, $b$, $varpi$, $mu_{alpha^*}$, $mu_delta$) to the Tycho-Gaia Astrometric Solution (TGAS) data, and a posterior validation using Gaia DR2 data, lead to the proposal of a set of new nearby Open Clusters. We have developed a method to find OCs in astrometric data, designed to be applied to the full Gaia DR2 archive.
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