Non-Steady Trading Day Detection Based on Stock Index Time-Series Information

Hideaki IWATA  

Publication
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E103-A   No.6   pp.821-828
Publication Date: 2020/06/01
Online ISSN: 1745-1337
DOI: 10.1587/transfun.2019EAP1151
Type of Manuscript: PAPER
Category: Numerical Analysis and Optimization
Keyword: 
outlier detection,  non-steady,  stock index,  visualization of time-series information,  

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Summary: 
Outlier detection in a data set is very important in performing proper data mining. In this paper, we propose a method for efficiently detecting outliers by performing cluster analysis using the DS algorithm improved from the k-means algorithm. This method is simpler to detect outliers than traditional methods, and these detected outliers can quantitatively indicate “the degree of outlier”. Using this method, we detect abnormal trading days from OHLCs for S&P500 and FTSA, which are typical and world-wide stock indexes, from the beginning of 2005 to the end of 2015. They are defined as non-steady trading days, and the conditions for becoming the non-steady markets are mined as new knowledge. Applying the mined knowledge to OHLCs from the beginning of 2016 to the end of 2018, we can predict the non-steady trading days during that period. By verifying the predicted content, we show the fact that the appropriate knowledge has been successfully mined and show the effectiveness of the outlier detection method proposed in this paper. Furthermore, we mutually reference and comparatively analyze the results of applying this method to multiple stock indexes. This analyzes possible to visualize when and where social and economic impacts occur and how they propagate through the earth. This is one of the new applications using this method.