Evaluating accuracies of a trading rule mining method based on temporal pattern extraction

Authors:
Hidenao Abe;Satoru Hirabayashi;Miho Ohsaki;Takahira Yamaguchi
Affiliations:
Department of Medical Informatics, Shimane University, School of Medicine;Graduate School of Science and Technology, Keio University;Faculty of Engineering, Doshisha University;Faculty of Science and Technology, Keio University
Venue:
MCD'07 Proceedings of the 3rd ECML/PKDD international conference on Mining complex data
Year:
2007

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Abstract

In this paper, we present an evaluation of accuracies of temporal rules obtained from the integrated temporal data mining environment using trading dataset from the Japanese stock market. Temporal data mining is one of key issues to get useful knowledge from databases. However, users often face on difficulties during such temporal data mining process for data pre-processing method selection/construction, mining algorithm selection, and post-processing to refine the data mining process. To get rules that are more valuable for domain experts from a temporal data mining process, we have designed an environment, which integrates temporal pattern extraction methods, rule induction methods and rule evaluation methods with visual human-system interface. Then, we have done a case study to mine temporal rules from a Japanese stock market database for trading. The result shows the availability to find out useful trading rules based on temporal pattern extraction.