A Novel Methodology for Stock Investment Using Episode Mining and Technical Indicators

Abstract

This paper proposes a novel methodology for stock investing using the technique of episode mining and technical indicators. The time-series data of stock price is used for the construction of complex episode events and rules. Our experimental results show that the episode rule mining method not only improves a well-known technical indicator alone, but also assists it in outperforming the benchmark. Based upon the results obtained, we expect this episode mining methodology to advance the research in data mining for finance, and provide an alternative strategy to stock investment in practice.