Association mining on financial ratios and stock prices

Pao Yue-kong Library Electronic Theses Database

Association mining on financial ratios and stock prices


Author: Leung, Hon-chiu
Title: Association mining on financial ratios and stock prices
Degree: M.Sc.
Year: 2001
Subject: Hong Kong Polytechnic University -- Dissertations
Stocks -- Prices
Stock price forecasting -- Mathematical models
Ratio analysis
Data Mining
Department: Multi-disciplinary Studies
Dept. of Computing
Pages: viii, 105 leaves : ill. (some col.) ; 30 cm
Language: English
InnoPac Record:
Abstract: The analysis of financial report of listed companies is essential in portfolio management for maximizing investment return with controlled risk. Usually the analysis involves large amount of data and the underlying patterns may not be easier to identify. With the increasing power of computer, the knowledge discovery in database (KDD) becomes possible on the domain of financial data. The focus of this project is to extract the association rules for financial ratios against stock price change. A data mining application for association rules on China and Hong Kong Stock Market has been built and to be accessed through the WEB. Preprocessing has been done to convert the data on financial report to financial ratios to allow for direct comparison. The changes on stock price were also extracted from the raw transaction data resided in the data warehouse. The values are classified into groups for KDD process. Three algorithms for association rules mining were implemented for efficiency comparison. The mining results are stored back on the database server for retrieval through web browser or as input for further processing. The whole system was built using Java with the use of RDBMS and the Java classes built are reusable with defined interface and calling method.

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