An Extended Two-Phase Architecture for Mining Time Series Data

An Extended Two-Phase Architecture for Mining Time Series Data An-Pin, Chen; Yi-Chang, Chang; Nai-Wen, Hsu {apc, ycchen, sosorry }@iim.nctu.edu.tw 2005 KES@Melbourne

APC Laboratory
Financial Investment Decision
Intelligent Decision Support System
Expert System

Time series data
Vary with time…

If we could…
Forecast
Get quantitative result
Validate the forecast result

Outline
Literature review
Two-phase architecture
Experiment result
Conclusion

Literature review
Time series analysis
Pattern recognition, Similarity measure
Disadvantage
Non-quantitative result, Non-statistical meaning
Association rule mining
Advantage
Inference result: (If A  Then B)
Disadvantage
Either too many or too few rules
The wide range rules

The Concept of Two-phase architecture
How to enforce the effectiveness of rules?
Do EDA before association rule mining
How to eliminate the low predictability rules?
Calculate the accuracy after association rule mining

Association rule mining process

Traditional association rule mining for time series data

Exploratory data analysis
What can EDA do?
maximize insight into a data set
determine optimal factor settings
What does EDA contain?

Two-phase architecture

Experiment target
Taiwan Weighted Stock Index trading volume
Totally 480 days
Each day includes 270 ticks

Experiment result & comparison
3 criteria
The number of rules
The accuracy of rules
The effectiveness of rules

Conclusion
Two-phase architecture mining is superior than tradition architecture mining by
The number of rules
The accuracy of rules
The effectiveness of rules
Some better clustering algorithms may be adopted in the future

Thanks for your attention… Q & A

Appendix A : An example of time series data

Raw data in database

Phase 1: Exploratory data analysis (EDA)

Kernel smoothing

Phase 2: Quantitative inter-transaction association rules

Accuracy Analysis

An Extended Two-Phase Architecture for Mining Time Series Data

by sosorry on Feb 03, 2008

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An Extended Two-Phase Architecture for Mining Time Series Data — Presentation Transcript