Study on Mining Association Rules from Stock Time Series Data

2013 ◽  
Vol 303-306 ◽  
pp. 1119-1124
Author(s):  
Xian Tan
Keyword(s):  
Time Series ◽  
Set Theory ◽  
Association Rules ◽  
Rough Set ◽  
Data Reduction ◽  
Stock Price ◽  
Time Series Data ◽  
Rough Set Theory ◽  
Series Data ◽  
Extraction Study

Rough set theory is a kind of ambiguity and imprecision new mathematical tools, using precise mathematical analysis of imprecise system an ideal method. Rough set theory has powerful data reduction capability, this paper rough set theory to model the stock time series data, reduction, rule extraction, study the ups and downs of the relationship between the stock price, the use of advanced data mining techniques to dig out price linkage between stock association rules, has a very important significance.

Analysis of Time-Series Data by Merging Decision Rules

2017 ◽  
Vol 21 (6) ◽  
pp. 1026-1033
Author(s):  
Yoshiyuki Matsumoto ◽  
Junzo Watada ◽  
◽  
Keyword(s):  
Time Series ◽  
Decision Rule ◽  
Set Theory ◽  
Rough Set ◽  
Time Series Data ◽  
Rough Set Theory ◽  
Decision Rules ◽  
Series Data ◽  
Rule Set ◽  
Analysis Of Time Series

Rough set theory was proposed by Z. Pawlak in 1982. This theory enables the mining of knowledge granules as decision rules from a database, the web, and other sources. This decision rule set can then be used for data analysis. We can apply the decision rule set to reason, estimate, evaluate, or forecast an unknown object. In this paper, rough set theory is used for the analysis of time-series data. We propose a method to acquire rules from time-series data using regression. The trend of the regression line can be used as a condition attribute. We predict the future slope of the time-series data as decision attributes. We also use merging rules to further analyze the time series data.

scholarly journals Air passengers forecasting for Australian airline based on hybrid rough set approach

2018 ◽  
Vol 14 (1) ◽  
pp. 5-18
Author(s):  
H. Kumar Sharma ◽  
K. Kumari ◽  
S. Kar
Keyword(s):  
Time Series ◽  
Set Theory ◽  
Rough Set ◽  
Hybrid Method ◽  
Time Series Data ◽  
Rough Set Theory ◽  
Decision Rules ◽  
Series Data ◽  
Long Term Forecasting ◽  
Des Model

Abstract Accurate and reliable air passenger demand is very important for policy-making and planning by tourism management as well as by airline authorities. Therefore, this article proposed a novel hybrid method based on rough set theory (RST) to construct decision rules for long-term forecasting of air passengers. Level (mean) and trend components are first estimated from the air passengers time series data using DES model in the formulation of the proposed hybrid method. Then the rough set theory is employed to combine the output of DES model and generated decision rules is used to forecasting air passengers. We compare the proposed approach with other time series models using a corrected classified accuracy (CCA) criterion. For the empirical analysis, yearly air transport passenger from 1992 to 2004 is used. Empirical results show that the proposed method is highly accurate with the higher corrected classified accuracy. Also, forecasting accuracy of the proposed method is better than the other time series approaches.

scholarly journals Analisis Intervesi Fungsi Step Efek Program Tol-Laut Terhadap Pergerakan Harga Saham TMAS.JK

2019 ◽  
Vol 5 (01) ◽  
pp. 47-54
Author(s):  
Wigid Hariadi
Keyword(s):  
Time Series ◽  
Stock Price ◽  
Time Series Data ◽  
Vice President ◽  
Step Function ◽  
Series Data ◽  
Intervention Analysis ◽  
Analysis Model ◽  
External Events ◽  
Port Construction

Abstract. Intervention analysis is used to evaluate the effect of external events on a time series data. Sea-highway program is one of the leading programs Joko Widodo-Jusuf Kalla in presidential election 2014. So the author want to modeling the effect from Sea-highway programs on stock price movement in the shipping sector, TMAS.JK (Pelayaran Tempuran Emas tbk). After analyzing, proven that it has happened intervention on movement of daily stock price TMAS.JK caused by Sea-highway programs. Intervention I, on 11 August 2014, which was efect as a result of the election of the Joko Widodo-Jusuf kalla pair as President and vice President Republic of Indonesia on 22 july 2014. Intervention II, on 10 november 2014, president Joko Widodo speech in APEC about Sea-highway Program, and offering investment in port construction to foreign country. So that the model of time series analysis that right is intervention analysis model multi input step function, where the model is ARIMA (2,1,0), StepI (b=0, s=2, r=1), StepII (b=3, s=0, r=1).  Keywords: Intervention Analysis, Multi Input, Step Function, Sea-highway.    Abstrak. Analisis intervensi digunakan untuk mengevaluasi efek dari peristiwa eksternal pada suatu data time series. Program Tol-Laut merupakan salah satu program unggulan pasangan Joko Widodo-Jusuf Kalla dalam pemilu 2014. sehingga, penulis ingin memodelkan efek dari Program Tol-Laut terhadap pergerakan harga saham dibidang pelayaran, TMAS.JK (Pelayaran Tempuran Emas tbk). Setelah dilakukan analisis data, terbukti bahwa terjadi intervensi pada pergerakan harga saham harian TMAS.JK yang disebabkan oleh efek dari program Tol-Laut. Dimana intervensi I, pada tanggal 11 Agustus 2014, yang diduga sebagai dampak dari terpilihnya pasangan Joko widodo-Jusuf Kalla sebagai presiden dan wakil presiden Republik Indonesia pada tanggal 22 Juli 2014. Intervensi II, pada tanggal 10 November 2014, pidato Presiden Joko Widodo di forum APEC mengenai program  tol  laut, dan  menawarkan investasi dibidang pembangunan pelabuhan  kepada bangsa asing. Sehingga model analisis time series yang tepat adalah model analisis intervensi multi input fungsi step, dimana modelnya adalah ARIMA (2,1,0), StepI (b=0, s=2, r=1), StepII (b=3, s=0, r=1). Kata kunci: Analisis intervensi, Multi Input, fungsi step, Tol-Laut.

scholarly journals A Predictive Meta Model for Forecasting Stock Price using Time Series Data

2021 ◽  
Vol 10 (1) ◽  
pp. 345-356
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Meta Model ◽  
Price Range ◽  
Stock Traders ◽  
The Right

Stock market prediction through time series is a challenging as well as an interesting research areafor the finance domain, through which stock traders and investors can find the right time to buy/sell stocks. However, various algorithms have been developed based on the statistical approach to forecast the time series for stock data, but due to the volatile nature and different price ranges of the stock price one particular algorithm is not enough to visualize the prediction. This study aims to propose a model that will choose the preeminent algorithm for that particular company’s stock that can forecastthe time series with minimal error. This model can assist a trader/investor with or without expertise in the stock market to achieve profitable investments. We have used the Stock data from Stock Exchange Bangladesh, which covers 300+ companies to train and test our system. We have classified those companies based on the stock price range and then applied our model to identify which algorithm suites most for a particular range of stock price. Comparative forecasting results of all algorithms in diverse price ranges have been presented to show the usefulness of this Predictive Meta Model

Rough Sets Based Prediction Model of Tick-Wise Price Fluctuations

2011 ◽  
Vol 15 (4) ◽  
pp. 449-453 ◽  
Author(s):  
Yoshiyuki Matsumoto ◽  
◽  
Junzo Watada ◽  
Keyword(s):  
Time Series ◽  
Decision Rule ◽  
Rough Set ◽  
Rough Sets ◽  
Time Series Data ◽  
Series Data ◽  
Data Set ◽  
Price Fluctuations ◽  
Rough Sets Theory ◽  
Sets Theory

Rough sets theory was proposed by Z. Pawlak in 1982. This theory enables us to mine knowledge granules through a decision rule from a database, a web base, a set and so on. We can apply the decision rule to reason, estimate, evaluate, or forecast unknown objects. In this paper, the rough set model is used to analyze of time series data of tick-wise price fluctuation, where knowledge granules are mined from the data set of tick-wise price fluctuations.

scholarly journals Implementation of Long Short-Term Memory and Gated Recurrent Units on Grouped Time-Series Data to Predict Stock Prices Accurately

2021 ◽  
Author(s):  
Armin Lawi ◽  
Hendra Mesra ◽  
Supri Amir
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Short Term Memory ◽  
Series Data ◽  
Percentage Error ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory

Abstract Stocks are an attractive investment option since they can generate large profits compared to other businesses. The movement of stock price patterns on the stock market is very dynamic; thus it requires accurate data modeling to forecast stock prices with a low error rate. Forecasting models using Deep Learning are believed to be able to accurately predict stock price movements using time-series data, especially the Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) algorithms. However, several previous implementation studies have not been able to obtain convincing accuracy results. This paper proposes the implementation of the forecasting method by classifying the movement of time-series data on company stock prices into three groups using LSTM and GRU. The accuracy of the built model is evaluated using loss functions of Rooted Mean Squared Error (RMSE) and Mean Absolute Percentage Error (MAPE). The results showed that the performance evaluation of both architectures is accurate in which GRU is always superior to LSTM. The highest validation for GRU was 98.73% (RMSE) and 98.54% (MAPE), while the LSTM validation was 98.26% (RMSE) and 97.71% (MAPE).

scholarly journals A forecasting of stock trading price using time series information based on big data

2021 ◽  
Vol 11 (3) ◽  
pp. 2548
Author(s):  
Soo-Tai Nam ◽  
Chan-Yong Jin ◽  
Seong-Yoon Shin
Keyword(s):  
Time Series ◽  
Big Data ◽  
Stock Price ◽  
Euclidean Distance ◽  
Time Series Data ◽  
Series Data ◽  
Analysis Tool ◽  
Large Set ◽  
Data Generation ◽  
Management Tools

Big data is a large set of structured or unstructured data that can collect, store, manage, and analyze data with existing database management tools. And it means the technique of extracting value from these data and interpreting the results. Big data has three characteristics: The size of existing data and other data (volume), the speed of data generation (velocity), and the variety of information forms (variety). The time series data are obtained by collecting and recording the data generated in accordance with the flow of time. If the analysis of these time series data, found the characteristics of the data implies that feature helps to understand and analyze time series data. The concept of distance is the simplest and the most obvious in dealing with the similarities between objects. The commonly used and widely known method for measuring distance is the Euclidean distance. This study is the result of analyzing the similarity of stock price flow using 793,800 closing prices of 1,323 companies in Korea. Visual studio and Excel presented calculate the Euclidean distance using an analysis tool. We selected “000100” as a target domestic company and prepared for big data analysis. As a result of the analysis, the shortest Euclidean distance is the code “143860” company, and the calculated value is “11.147”. Therefore, based on the results of the analysis, the limitations of the study and theoretical implications are suggested.

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