TY - JOUR
T1 - Mining fuzzy time intervals of fuzzy stock price co-movements patterns
AU - Mukhlash, Imam
AU - Iqbal, Mohammad
AU - Wulandari, Maya Nurlita
AU - Arafah, Andi Asrafiani
N1 - Publisher Copyright:
© 2019, ICIC International.
PY - 2019/10
Y1 - 2019/10
N2 - This study presents a fuzzy time interval of fuzzy stock price co-movement pattern, so-called FTI-FSPCM pattern. The FTI-FSPCM is a subsequence which frequently occurs on the historical stock price sequences and comprises fuzzy stock price movement types with fuzzy time intervals. To mine the FTI-FSPCM patterns, we employ FP-GROWTH PREFIX-SPAN algorithm by focusing on stock price discretization based on the fuzzy-linguistic terms. More specifically, the discretization combines the fuzzy return types and the fuzzy time intervals. This study aims to build an investment portfolio for the investor based on the FTI-FSPCM patterns in general, for each company and inter-companies. The experimental results showed that FTI-FSPCM patterns interpret the movements of stock price trends. Furthermore, the FTI-FSPCM patterns can be used as investment decision supports.
AB - This study presents a fuzzy time interval of fuzzy stock price co-movement pattern, so-called FTI-FSPCM pattern. The FTI-FSPCM is a subsequence which frequently occurs on the historical stock price sequences and comprises fuzzy stock price movement types with fuzzy time intervals. To mine the FTI-FSPCM patterns, we employ FP-GROWTH PREFIX-SPAN algorithm by focusing on stock price discretization based on the fuzzy-linguistic terms. More specifically, the discretization combines the fuzzy return types and the fuzzy time intervals. This study aims to build an investment portfolio for the investor based on the FTI-FSPCM patterns in general, for each company and inter-companies. The experimental results showed that FTI-FSPCM patterns interpret the movements of stock price trends. Furthermore, the FTI-FSPCM patterns can be used as investment decision supports.
KW - Fuzzy stok o-movement
KW - Fuzzy time interval
KW - Mining sequential patterns
UR - http://www.scopus.com/inward/record.url?scp=85073355806&partnerID=8YFLogxK
U2 - 10.24507/icicelb.10.10.859
DO - 10.24507/icicelb.10.10.859
M3 - Article
AN - SCOPUS:85073355806
SN - 2185-2766
VL - 10
SP - 859
EP - 866
JO - ICIC Express Letters, Part B: Applications
JF - ICIC Express Letters, Part B: Applications
IS - 10
ER -