Predictive fuzzy reasoning method for time series stock market data mining
Data mining is able to uncover hidden patterns and predict future trends and behaviors in financial markets. In this research we approach quantitative time series stock selection as a data mining problem. We present another modification of extraction of weighted fuzzy production rules (WFPRs) from f...
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| Format: | Conference or Workshop Item |
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2005
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| Online Access: | http://eprints.utm.my/7575/ http://dx.doi.org/10.1117/12.603089 |
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| author | Khokhar, Rashid Hafeez Sap, M. N. Md. |
| author_facet | Khokhar, Rashid Hafeez Sap, M. N. Md. |
| author_sort | Khokhar, Rashid Hafeez |
| building | UTM Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Malaysia |
| content_source | UTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | Data mining is able to uncover hidden patterns and predict future trends and behaviors in financial markets. In this research we approach quantitative time series stock selection as a data mining problem. We present another modification of extraction of weighted fuzzy production rules (WFPRs) from fuzzy decision tree by using proposed similarity-based fuzzy reasoning method called predictive reasoning (PR) method. In proposed predictive reasoning method weight parameter can be assigned to each proposition in the antecedent of a fuzzy production rule (FPR) and certainty factor (CF) to each rule. Certainty factors are calculated by using some important variables like effect of other companies, effect of other local stock market, effect of overall world situation, and effect of political situation from stock market. The predictive FDT has been tested using three data sets including KLSE, NYSE and LSE. The experimental results show that WFPRs rules have high learning accuracy and also better predictive accuracy of stock market time series data. |
| format | Conference or Workshop Item |
| id | my.utm.eprints-7575 |
| institution | Universiti Teknologi Malaysia |
| publishDate | 2005 |
| record_format | eprints |
| spelling | my.utm.eprints-75752017-08-29T01:24:10Z http://eprints.utm.my/7575/ Predictive fuzzy reasoning method for time series stock market data mining Khokhar, Rashid Hafeez Sap, M. N. Md. QA75 Electronic computers. Computer science Data mining is able to uncover hidden patterns and predict future trends and behaviors in financial markets. In this research we approach quantitative time series stock selection as a data mining problem. We present another modification of extraction of weighted fuzzy production rules (WFPRs) from fuzzy decision tree by using proposed similarity-based fuzzy reasoning method called predictive reasoning (PR) method. In proposed predictive reasoning method weight parameter can be assigned to each proposition in the antecedent of a fuzzy production rule (FPR) and certainty factor (CF) to each rule. Certainty factors are calculated by using some important variables like effect of other companies, effect of other local stock market, effect of overall world situation, and effect of political situation from stock market. The predictive FDT has been tested using three data sets including KLSE, NYSE and LSE. The experimental results show that WFPRs rules have high learning accuracy and also better predictive accuracy of stock market time series data. 2005 Conference or Workshop Item PeerReviewed Khokhar, Rashid Hafeez and Sap, M. N. Md. (2005) Predictive fuzzy reasoning method for time series stock market data mining. In: Proceedings of SPIE - The International Society for Optical Engineering , 28 March 2005 , Orlando, FL, USA . http://dx.doi.org/10.1117/12.603089 |
| spellingShingle | QA75 Electronic computers. Computer science Khokhar, Rashid Hafeez Sap, M. N. Md. Predictive fuzzy reasoning method for time series stock market data mining |
| title | Predictive fuzzy reasoning method for time series stock market data mining |
| title_full | Predictive fuzzy reasoning method for time series stock market data mining |
| title_fullStr | Predictive fuzzy reasoning method for time series stock market data mining |
| title_full_unstemmed | Predictive fuzzy reasoning method for time series stock market data mining |
| title_short | Predictive fuzzy reasoning method for time series stock market data mining |
| title_sort | predictive fuzzy reasoning method for time series stock market data mining |
| topic | QA75 Electronic computers. Computer science |
| url | http://eprints.utm.my/7575/ http://dx.doi.org/10.1117/12.603089 |
| url_provider | http://eprints.utm.my/ |