Temporal association rule mining

Ting Feng Tan, Qing Guo Wang, Tian He Phang, Xian Li, Jiangshuai Huang, Dan Zhang

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

4 Citations (Scopus)

Abstract

A modified framework, that applies temporal association rule mining to financial time series, is proposed in this paper. The top four components stocks of Dow Jones Industrial Average (DJIA) in terms of highest daily volume and DJIA (index time series, expressed in points) are used to form the time-series database (TSDB) from 1994 to 2007. The main goal is to generate profitable trades by uncovering hidden knowledge from the TSDB. This hidden knowledge refers to temporal association rules, which represent the repeated relationships between events of the financial time series with time-parameter constraints: sliding time windows. Following an approach similar to Knowledge Discovery in Databases (KDD), the basic idea is to use frequent events to discover significant rules. Then, we propose the Multi-level Intensive Subset Learning (MIST) algorithm and use it to unveil the finer rules within the subset of the corresponding significant rules. Hypothesis testing is later applied to remove rules that are deemed to occur by chance.

Original languageEnglish
Title of host publicationIntelligence Science and Big Data Engineering
Subtitle of host publicationBig Data and Machine Learning Techniques - 5th International Conference, IScIDE 2015, Revised Selected Papers
EditorsZhi-Hua Zhou, Baochuan Fu, Fuyuan Hu, Zhancheng Zhang, Zhi-Yong Liu, Yanning Zhang, Xiaofei He, Xinbo Gao
PublisherSpringer Verlag
Pages247-257
Number of pages11
ISBN (Print)9783319238616
DOIs
Publication statusPublished - 2015
Externally publishedYes
Event5th International Conference on Intelligence Science and Big Data Engineering, IScIDE 2015 - Suzhou, China
Duration: 14 Jun 201516 Jun 2015

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume9243
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference5th International Conference on Intelligence Science and Big Data Engineering, IScIDE 2015
Country/TerritoryChina
CitySuzhou
Period14/06/1516/06/15

Keywords

  • DJIA
  • Events
  • Financial time series
  • Hypothesis testing
  • Knowledge discovery
  • Temporal data mining

ASJC Scopus subject areas

  • Theoretical Computer Science
  • General Computer Science

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