Applying rough sets to market timing decisions

Authors:
Lixiang Shen;Han Tong Loh
Affiliations:
Design Technology Institute Ltd, Faculty of Engineering, BLK E4-01-07, National University of Singapore, 10 Kent Ridge Crescent, Singapore 119260, Singapore;Design Technology Institute Ltd, Faculty of Engineering, BLK E4-01-07, National University of Singapore, and Department of Mechanical Engineering, National University of Singapore, Singapore 11926 ...
Venue:
Decision Support Systems - Special issue: Data mining for financial decision making
Year:
2004

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Abstract

A lot of research has been done to predict economic development. The problem studied here is about the stock prediction for use of investors. More specifically, the stock market's movements will be analyzed and predicted. We wish to retrieve knowledge that could guide investors on when to buy and sell. Through a detailed case study on trading S&P 500 index, rough sets is shown to be an applicable and effective tool to achieve this goal. Some problems concerning time series transformation, indicator selection, trading system building in real implementation are also discussed.