A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models

Neng Fan, Jicong Zhang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The stocks sold on financial markets are classified by industry. The predefined category for each stock has no relation to its price movement in the financial market. In this paper, we use the graph partitioning based data mining method to determine the industrial classification of stocks only based on the historical data of them. The data mining method includes clustering and biclustering for time-series data. In this paper, we present the implemented algorithms on the stocks of S&P 500 index in four years. Based on this approach, we analyze the associations between stocks to forecast the movement direction of the financial market.

Original languageEnglish (US)
Title of host publicationIIE Annual Conference and Expo 2010 Proceedings
PublisherInstitute of Industrial Engineers
StatePublished - 2010
Externally publishedYes
EventIIE Annual Conference and Expo 2010 - Cancun, Mexico
Duration: Jun 5 2010Jun 9 2010

Other

OtherIIE Annual Conference and Expo 2010
CountryMexico
CityCancun
Period6/5/106/9/10

Fingerprint

Time series
Data mining
Financial markets
Industry

Keywords

  • Biclustering
  • Bipartite graph
  • Clustering
  • Financial stocks
  • Graph partitioning
  • Time series

ASJC Scopus subject areas

  • Industrial and Manufacturing Engineering

Cite this

Fan, N., & Zhang, J. (2010). A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models. In IIE Annual Conference and Expo 2010 Proceedings Institute of Industrial Engineers.

A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models. / Fan, Neng; Zhang, Jicong.

IIE Annual Conference and Expo 2010 Proceedings. Institute of Industrial Engineers, 2010.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Fan, N & Zhang, J 2010, A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models. in IIE Annual Conference and Expo 2010 Proceedings. Institute of Industrial Engineers, IIE Annual Conference and Expo 2010, Cancun, Mexico, 6/5/10.
Fan N, Zhang J. A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models. In IIE Annual Conference and Expo 2010 Proceedings. Institute of Industrial Engineers. 2010
Fan, Neng ; Zhang, Jicong. / A Time-series-clusteringmethod for analyzing and forecasting stock market based on graph models. IIE Annual Conference and Expo 2010 Proceedings. Institute of Industrial Engineers, 2010.
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