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Transactions: WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS
Transactions ID Number: 32-842
Full Name: S Shankar
Position: Senior Lecturer
Age: ON
Sex: Male
Address: 33,Arcot road,Saligramam,Chennai 600 093.
Country: INDIA
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E-mail address: shanx80@yahoo.in
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Title of the Paper: A novel Utility Based Analysis to formulate Optimal and utility emphasized Stock Trading Rules using ARM and GA
Authors as they appear in the Paper: S,Shankar,T.Purusothaman
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Number of paper pages: 11
Abstract: Utility based data mining has been emerging as a significant learning tool for formulating business practices from the economic perspective. The recent economic growth in financial world could be greatly accredited to the Stock markets. Many researchers have made valiant attempts in data mining, to devise an efficient system that analyses the stock market movement. Still, there have not been many systems that could formulate association rules for stock markets based on economic importance i.e. utility. So, when utility based data mining is employed in stock market prediction, it would devise association rules that would lead to high return on investments. Hereby, we are proposing an analysis which deploys the Utility Based Data mining to generate utility emphasized trading rules. The proposed utility based analysis is composed of a pre-analysis and a core analysis. The pre-analysis utilizes four powerful technical indicators to interpret the raw historical data and!
Association Rule Mining for generating normal trading rules. In the core analysis, the utility based preliminary rules are generated by using Genetic Algorithm and then a weightage based analysis is performed for extracting better utility emphasized rules. The trading rules thus obtained are optimal and utility efficient, leading to utility-emphasized transfer of shares in the stock market. Finally, a comparative evaluation is performed between the utility emphasized rules generated by the proposed analysis and the non-utility emphasized rules obtained from classical apriori.
Keywords: Utility based Data mining, Utility Analysis, Utility emphasized trading rules, Association Rule Mining (ARM), Genetic Algorithm (GA)
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