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This paper presents rough sets generating prediction rules scheme for stock price movement. The scheme was able to extract knowledge in the form of rules from daily stock movements. These rules then could be used to guide investors whether to buy, sell or hold a stock. To increase the efficiency of the prediction process, rough sets with Boolean reasoning discretization algorithm is used to discretize the data. Rough set reduction technique is applied to find all the reducts of the data. Finally, rough sets dependency rules are generated directly from all generated reducts. Rough confusion matrix is used to evaluate the performance of the predicted reducts and classes. A comparison between the obtained results using rough sets with decision tree and neural networks algorithms have been made. Rough sets show a higher overall accuracy rates reaching over 97% and generate more compact rules.
Date of Conference: 8-10 Sept. 2008