Discovery of trading points based on Bayesian modeling of trading rules |
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| Authors: | Qinghua Huang Zhoufan Kong Yanshan Li Jie Yang Xuelong Li |
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| Affiliation: | 1.College of Information Engineering,Shenzhen University,Shenzhen,China;2.School of Electronic and Information Engineering,South China University of Technology,Guangzhou,China;3.School of Mechanical Engineering, and Center for OPTical IMagery Analysis and Learning (OPTIMAL),Northwestern Polytechnical University,Xi’an,China;4.Xi’an Institute of Optics and Precision Mechanics, Chinese Academy of Sciences,Xi’an,China |
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| Abstract: | Mining hidden patterns with different technical indicators from the historical financial data has been regarded as an efficient way to determine the trading decisions in the financial market. Technical analysis has shown that a number of specific combinations of technical indicators could be treated as trading patterns for forecasting efficient trading directions. However, it is a challenging assignment to discover those combinations. In this paper, we innovatively propose to use a biclustering algorithm to detect the trading patterns. The discovered trading patterns are then utilized to forecast the market movement based on the Naive Bayesian algorithm. Finally, the Adaboost algorithm is applied to improve the accuracy of the forecasts. The proposed method was implemented on seven historical stock datasets and the average performance was compared with that of four existing algorithms. Experimental results demonstrated that the proposed algorithm outperforms the other four algorithms and can provide a valuable reference in the financial investments. |
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