Summary
International Technical Conference on Circuits/Systems, Computers and Communications
2016
Session Number:W1-1
Session:
Number:W1-1-3
The Association and Prediction of Index of the Stock Exchange of Thailand (SET) between the Index of Foreign Exchange by using Data Mining Techniques
Sayan Tepdang, Tortanut Choosang, Suvijak Sothanakul ,
pp.697-700
Publication Date:2016/7/10
Online ISSN:2188-5079
Summary:
This paper presents the association and prediction of the Stock Exchange of Thailand (SET) by using data the index of foreign exchange from Bloomberg news agency during September 8, 2014 to September 7, 2015. The first stage of the research is to find the association of information which has an increase or decrease of the Stock Exchange of Thailand with the composite index of Shanghai, China, Nikkei 225 Stock index of Japan, the index of the New York Stock Exchange, USA and the index of the London Stock Exchange, UK. Are they relevant after the close of trading on the stock market every day? The method is FP-Growth Algorithm. The results of the research showed that the Support value is greater than 10% of data. This can create association rules related to Stock Exchange of Thailand index which has a total of 56 law relationships; for example: when the exchange composite, Stock exchange Nikkei 225, New York Stock Exchange and the London Stock Exchange are at the close of trading and show the rise of stock market indices all four. This indicates that the close of trading on the Stock Exchange of Thailand will have to increase the index. The confidence is up to 70% and the lift is at 1.443. At the second stage of the research, after association rules related Stock Exchange of Thailand, the selected rule related with the confidence more than 60%. To create a model for prediction the index of SET, by means of Ensemble consisting of three ways: Decision Tree, K-Nearest Neighbors (K-NN) and Neural Networks. The results of the research showed that modeling of the London Stock Exchange has a value of up to 63.48% in Accuracy, followed by the two equal models: Modeling relationship rules of the Shanghai Stock Exchange and the London Stock Exchange composite. The second model is law relationship Stock Exchange Nikkei 225 and the London Stock Exchange with a value of Accuracy equal to 63.38% and the minimum is to create a model law relationship Stock Exchange composite of Shanghai and New York Stock Exchange is worth at 58.43% of Accuracy.