Mining stock category association and cluster on Taiwan stock market

Authors:
Shu-Hsien Liao;Hsu-hui Ho;Hui-wen Lin
Affiliations:
Department of Management Sciences and Decision Making, Tamkang University, No. 151, Yingjuan Road, Danshuei Jen, Taipei 251, Taiwan, ROC;Department of Management Sciences and Decision Making, Tamkang University, No. 151, Yingjuan Road, Danshuei Jen, Taipei 251, Taiwan, ROC;Department of Management Sciences and Decision Making, Tamkang University, No. 151, Yingjuan Road, Danshuei Jen, Taipei 251, Taiwan, ROC
Venue:
Expert Systems with Applications: An International Journal
Year:
2008

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Abstract

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. This paper investigates stock market investment issues on Taiwan stock market using a two-stage data mining approach. The first stage Apriori algorithm is a methodology of association rules, which is implemented to mine knowledge and illustrate knowledge patterns and rules in order to propose stock category association and possible stock category investment collections. Then the K-means algorithm is a methodology of cluster analysis implemented to explore the stock cluster in order to mine stock category clusters for investment information. By doing so, this paper proposes several possible Taiwan stock market portfolio alternatives under different circumstances.