Concept and Practice of Artificial Market Data Mining Platform

We proposed a concept called the artificial market data mining platform and presented a practical example for it. This concept is designed to evaluate data mining methods through artificial market simulation. We believe that the proposed platform can help us conduct a fair evaluation of data mining methods for the financial market without actual data dependence, and investigate the impact of financial market factors on predictions of future market movements. In this study, as a practical example, we built a tick-time level artificial market simulation and data mining models to predict short-term price changes and investigated the effect of four financial market factors on the performance of data mining models. Through experimental analysis, we demonstrated the validity and benefits of the proposed concept and practice model. We also discussed the potential and future applications of our proposal.

I. Introduction

In financial markets, traders have been trying various approaches to maximize their profits. Recently, machine learning-based methods have been attracting continuous attention to achieve this objective. Meanwhile, many academic studies focusing on this topic have also been carried out.