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    政大機構典藏 > 理學院 > 資訊科學系 > 會議論文 >  Item 140.119/74628
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/74628


    Title: An empirical study of concept drift detection for the prediction of TAIEX futures
    Authors: Lin, Hong-che;Hsu, Kuo-wei
    徐國偉
    Contributors: 資科系
    Keywords: Concept drifts;Data stream mining;Detection methods;Ensemble-based method;Futures;Sequential manners;Stock index futures;Taiwan stock exchanges;Data communication systems;Finance;Artificial intelligence
    Concept drifts;Data stream mining;Detection methods;Ensemble-based method;Futures;Sequential manners;Stock index futures;Taiwan stock exchanges;Data communication systems;Finance;Artificial intelligence
    Date: 2013
    Issue Date: 2015-04-16 17:30:29 (UTC+8)
    Abstract: Financial market data is intrinsically dynamic, because it is usually generated in a sequential manner. Such dynamics are usually associated with concept drift, which indicates changes in the underlying data distribution. In this paper, we present our current work that extends from our previous work where we applied data stream mining techniques to the prediction of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures, or TAIEX Futures. In order to analyze the type of concept drift existing in the TAIEX Futures data, we study various methods and propose an ensemble based method. The proposed method uses Drift Detection Method to determine the number of instances given to a sub-classifier that is a component of an ensemble and corresponds to a concept. By observing changes of relative weights of sub-classifiers, we can determine whether a concept occurs repeatedly. Moreover, compared to another ensemble based method, the proposed method achieves higher accuracy without knowing a parameter that is important for another method. © 2013 IEEE.
    Relation: 2013 IEEE 6th International Workshop on Computational Intelligence and Applications, IWCIA 2013 - Proceedings; Hiroshima; Japan; 13 July 2013 到 13 July 2013; 類別編號CFP1361U-ART;論文編號 6624804, Pages 155-160
    10.1109/IWCIA.2013.6624804
    Data Type: conference
    Appears in Collections:[資訊科學系] 會議論文

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