A Novel Episode Mining Methodology for Stock Investment

作者：Lin Yu Feng^*; Huang Chien Feng; Tseng Vincent S

来源：Journal of Information Science and Engineering, 2014, 30(3): 571-585.

• episode mining
• technical indicators
• stock investing strategy
• complex event sequence
• cross validation

In this paper, we present a novel methodology for stock investment using episode mining and technical indicators. The time-series data of stock price and the derived moving average, a class of well-known technical indicators, are used for the construction of complex episode events and rules. Our objective is to devise a profitable episode-based investment model to mine associated events in the stock market. Using Taiwan Capitalization Weighted Stock Index (TAIEX), the empirical results show that our proposed model significantly outperforms the benchmark in terms of cumulative total returns. We also show that the level of the precision by our model is close to 60%, which is better than random guessing. Based upon the results obtained, we expect this novel episode-based methodology will advance the research in data mining for computational finance and provide an alternative to stock investment in practice.

• 出版日期2014-5