Title :
Quality-based association rules for stock index data by using rough set theory
Author :
Utthammajai, Krittithee ; Leesutthipornchai, Pakorn
Author_Institution :
Dept. of Comput. Sci., Thammasat Univ., Pathumthani, Thailand
Abstract :
The stock index indicators, e.g., Moving Average (MA), Relative Strength Index (RSI), Price Rate of Change (PROC), Moving Average Convergence Divergence (MACD), or Stochastic Oscillator (STH) are often used as the main factor in trading. Stock traders decide to trade by using these indicators. This paper applies theory of rough set to find the hidden relationship among these indicators which affects the market price. The transactional data was gathered from Thai stock market in the period of April 10, 2013 to September 5, 2014. This paper focuses on the exact relationship that always occurs from the set of data. The obtained relation may appear infrequent but every time the cause appears, the result is always happen. The association results show that the set of indicators affects the price change. When the indicators are changed substantially, the price will change significantly.
Keywords :
data mining; economic indicators; pricing; rough set theory; stock markets; MACD; PROC; RSI; STH; Thai stock market; market price; moving average convergence divergence; price rate of change; quality-based association rules; relative strength index; rough set theory; stochastic oscillator; stock index data; stock index indicators; stock traders; transactional data; Association rules; Indexes; Market research; Oscillators; Set theory; Stock markets; Association Rule; Rough Set; Stock Indicator;
Conference_Titel :
Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON), 2015 12th International Conference on
Conference_Location :
Hua Hin
DOI :
10.1109/ECTICon.2015.7207089
