Stock Market Trading Rules Discovery Based on Biclustering Method

Abstract EN

The prediction of stock market’s trend has become a challenging task for a long time, which is affected by a variety of deterministic and stochastic factors.

In this paper, a biclustering algorithm is introduced to find the local patterns in the quantized historical data.

The local patterns obtained are regarded as the trading rules.

Then the trading rules are applied in the short term prediction of the stock price, combined with the minimum-error-rate classification of the Bayes decision theory under the assumption of multivariate normal probability model.

In addition, this paper also makes use of the idea of the stream mining to weaken the impact of historical data on the model and update the trading rules dynamically.

The experiment is implemented on real datasets and the results prove the effectiveness of the proposed algorithm.