Title: Study of temporal data mining technique on Dhaka Stock Exchange

Authors: Asadullah Al Galib; Mahbub Alam; Nowshad Hossain; Rashedur M. Rahman

Addresses: Department of Electrical Engineering and Computer Science, North South University, Plot-15, Block-B, Bashundhara, Dhaka 1229, Bangladesh. ' Department of Electrical Engineering and Computer Science, North South University, Plot-15, Block-B, Bashundhara, Dhaka 1229, Bangladesh. ' Department of Electrical Engineering and Computer Science, North South University, Plot-15, Block-B, Bashundhara, Dhaka 1229, Bangladesh. ' Department of Electrical Engineering and Computer Science, North South University, Plot-15, Block-B, Bashundhara, Dhaka 1229, Bangladesh

Abstract: One of the major tasks in stock market analysis is the discovery of specific events that give rise to a particular event. In this research, we emphasise on temporal data mining conducted on a stock-oriented dataset with a time dimensional approach. We are mainly interested in bringing forward an algorithm for pattern discovery in sequential data streams and also bring out the interdependencies among the events. This led us to the discovery of sequential continuous patterns. The patterns serve as rules that enable us to determine the occurrence of an event on a particular stock-transaction day. In our paper, we have proposed and implemented the STRDTM (stock trading rule discovery by temporal mining) algorithm with real life data from Dhaka Stock Exchange (DSE) as input. We generate high confidence rules from training dataset of six months and finally evaluate the performance of the discovered rule on testing dataset. On an average, we could achieve around 80% accuracy if we trade on the discovered rules.

Keywords: temporal data mining; sequential pattern discovery; frequent sets; association rule mining; stock market analysis; stock markets; Dhaka Stock Exchange; Bangladesh; stock trading; rule discovery.

DOI: 10.1504/IJKEDM.2012.044698

International Journal of Knowledge Engineering and Data Mining, 2012 Vol.2 No.1, pp.1 - 13

Received: 08 May 2021
Accepted: 12 May 2021

Published online: 03 Jan 2012 *

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