Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations

Yoshiyuki Matsumoto, Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingChapter

    Abstract

    Rough sets enable us to mine knowledge in the form of IF-THEN decision rules from a data repository, a database, a web base, and others. Decision rules are used to reason, estimate, evaluate, and forecast. The objective of this paper is to build the rough sets-based model for analysis of time series data with tick-wise price fluctuations where knowledge granules are mined from the data set of tickwise price fluctuations. We show how a method based on rough sets helps acquire the knowledge from time-series data. The method enables us to obtain IF-THEN type rules for forecasting stock prices.

    Original languageEnglish
    Title of host publicationIntelligent Systems Reference Library
    Pages301-329
    Number of pages29
    Volume47
    DOIs
    Publication statusPublished - 2013

    Publication series

    NameIntelligent Systems Reference Library
    Volume47
    ISSN (Print)18684394
    ISSN (Electronic)18684408

    Fingerprint

    fluctuation
    Time series
    time series
    Rough set
    Stock prices
    Ticks
    Fluctuations
    Prediction model
    Decision rules
    Time series data
    World Wide Web
    Data base
    Repository

    ASJC Scopus subject areas

    • Computer Science(all)
    • Information Systems and Management
    • Library and Information Sciences

    Cite this

    Matsumoto, Y., & Watada, J. (2013). Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations. In Intelligent Systems Reference Library (Vol. 47, pp. 301-329). (Intelligent Systems Reference Library; Vol. 47). https://doi.org/10.1007/1007/978-3-642-33439-9_14

    Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations. / Matsumoto, Yoshiyuki; Watada, Junzo.

    Intelligent Systems Reference Library. Vol. 47 2013. p. 301-329 (Intelligent Systems Reference Library; Vol. 47).

    Research output: Chapter in Book/Report/Conference proceedingChapter

    Matsumoto, Y & Watada, J 2013, Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations. in Intelligent Systems Reference Library. vol. 47, Intelligent Systems Reference Library, vol. 47, pp. 301-329. https://doi.org/10.1007/1007/978-3-642-33439-9_14
    Matsumoto Y, Watada J. Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations. In Intelligent Systems Reference Library. Vol. 47. 2013. p. 301-329. (Intelligent Systems Reference Library). https://doi.org/10.1007/1007/978-3-642-33439-9_14
    Matsumoto, Yoshiyuki ; Watada, Junzo. / Building a Rough Sets-Based Prediction Model of Tick-Wise Stock Price Fluctuations. Intelligent Systems Reference Library. Vol. 47 2013. pp. 301-329 (Intelligent Systems Reference Library).
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