Marking the Close analysis in Thai Bond Market Surveillance using association rules

Authors:
Janjao Mongkolnavin;Sunti Tirapat
Affiliations:
Faculty of Commerce and Accountancy, Chulalongkorn University, Phyathai Road, Bangkok 10330, Thailand;Faculty of Commerce and Accountancy, Chulalongkorn University, Phyathai Road, Bangkok 10330, Thailand
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

Citing 0
Cited 4

Finding temporal associative rules in financial time-series: a case of study in Madrid stock exchange (IGBM)

CIMMACS '10 Proceedings of the 9th WSEAS international conference on computational intelligence, man-machine systems and cybernetics
Short Communication: Forecasting changes in Korea Composite Stock Price Index (KOSPI) using association rules

Expert Systems with Applications: An International Journal
Analysis of stock market manipulations using knowledge discovery techniques applied to intraday trade prices

Expert Systems with Applications: An International Journal
Mining association rules from time series to explain failures in a hot-dip galvanizing steel line

Computers and Industrial Engineering

Quantified Score

Hi-index	12.06

Visualization

Abstract

This study investigates the opportunity of employing data mining techniques as a supplement to traditional techniques, such as economic modeling, to detect misconduct in the Thai Bond Market. In the study, association rules are used to detect ''Mark the Close'' conduct in the Thai Bond Market Association (ThaiBMA) surveillance system. The experiment was conducted on 54,334 trading transactions reported to the ThaiBMA in the year 2005. The result shows that association rules can be effectively used to provide a short list of traders who are likely to behave in such a way.