An Extended Two-Phase Architecture  for Mining Time Series Data  An-Pin, Chen; Yi-Chang, Chang;  Nai-Wen, Hsu {apc, ycchen...
<ul><li>APC Laboratory </li></ul><ul><ul><li>Financial Investment Decision </li></ul></ul><ul><ul><li>Intelligent Decision...
Time series data  <ul><li>Vary with time… </li></ul>
If we could… <ul><li>Forecast </li></ul><ul><li>Get quantitative result </li></ul><ul><li>Validate the forecast result </l...
Outline <ul><li>Literature review </li></ul><ul><li>Two-phase architecture </li></ul><ul><li>Experiment result </li></ul><...
Literature review <ul><li>Time series analysis </li></ul><ul><ul><li>Pattern recognition, Similarity measure </li></ul></u...
The Concept of Two-phase architecture <ul><li>How to enforce the effectiveness of rules? </li></ul><ul><ul><li>Do EDA befo...
Association rule mining process
Association rule mining process
Association rule mining process
Traditional association rule mining for time series data
Traditional association rule mining for time series data
Traditional association rule mining for time series data
Exploratory data analysis <ul><li>What can EDA do? </li></ul><ul><ul><li>maximize insight into a data set  </li></ul></ul>...
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Two-phase architecture
Experiment target <ul><li>Taiwan Weighted Stock Index trading volume </li></ul><ul><li>Totally  480  days </li></ul><ul><l...
Experiment result & comparison <ul><li>3 criteria </li></ul><ul><ul><li>The number of rules </li></ul></ul><ul><ul><li>The...
 
 
 
 
 
 
 
 
 
 
Conclusion <ul><li>Two-phase architecture mining is superior than tradition architecture mining by </li></ul><ul><ul><li>T...
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
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Phase 2: Quantitative inter-transaction association rules
Accuracy Analysis
Accuracy Analysis
Accuracy Analysis
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An Extended Two-Phase Architecture for Mining Time Series Data

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An Extended Two-Phase Architecture for Mining Time Series Data

  1. 1. 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
  2. 2. <ul><li>APC Laboratory </li></ul><ul><ul><li>Financial Investment Decision </li></ul></ul><ul><ul><li>Intelligent Decision Support System </li></ul></ul><ul><ul><li>Expert System </li></ul></ul>
  3. 3. Time series data <ul><li>Vary with time… </li></ul>
  4. 4. If we could… <ul><li>Forecast </li></ul><ul><li>Get quantitative result </li></ul><ul><li>Validate the forecast result </li></ul>
  5. 5. Outline <ul><li>Literature review </li></ul><ul><li>Two-phase architecture </li></ul><ul><li>Experiment result </li></ul><ul><li>Conclusion </li></ul>
  6. 6. Literature review <ul><li>Time series analysis </li></ul><ul><ul><li>Pattern recognition, Similarity measure </li></ul></ul><ul><ul><ul><li>Disadvantage </li></ul></ul></ul><ul><ul><ul><ul><li>Non-quantitative result, Non-statistical meaning </li></ul></ul></ul></ul><ul><ul><li>Association rule mining </li></ul></ul><ul><ul><ul><li>Advantage </li></ul></ul></ul><ul><ul><ul><ul><li>Inference result: (If A  Then B) </li></ul></ul></ul></ul><ul><ul><ul><li>Disadvantage </li></ul></ul></ul><ul><ul><ul><ul><li>Either too many or too few rules </li></ul></ul></ul></ul><ul><ul><ul><ul><li>The wide range rules </li></ul></ul></ul></ul>
  7. 7. The Concept of Two-phase architecture <ul><li>How to enforce the effectiveness of rules? </li></ul><ul><ul><li>Do EDA before association rule mining </li></ul></ul><ul><li>How to eliminate the low predictability rules? </li></ul><ul><ul><li>Calculate the accuracy after association rule mining </li></ul></ul>
  8. 8. Association rule mining process
  9. 9. Association rule mining process
  10. 10. Association rule mining process
  11. 11. Traditional association rule mining for time series data
  12. 12. Traditional association rule mining for time series data
  13. 13. Traditional association rule mining for time series data
  14. 14. Exploratory data analysis <ul><li>What can EDA do? </li></ul><ul><ul><li>maximize insight into a data set </li></ul></ul><ul><ul><li>determine optimal factor settings </li></ul></ul><ul><li>What does EDA contain? </li></ul>
  15. 15. Two-phase architecture
  16. 16. Two-phase architecture
  17. 17. Two-phase architecture
  18. 18. Two-phase architecture
  19. 19. Two-phase architecture
  20. 20. Two-phase architecture
  21. 21. Two-phase architecture
  22. 22. Two-phase architecture
  23. 23. Two-phase architecture
  24. 24. Two-phase architecture
  25. 25. Two-phase architecture
  26. 26. Two-phase architecture
  27. 27. Experiment target <ul><li>Taiwan Weighted Stock Index trading volume </li></ul><ul><li>Totally 480 days </li></ul><ul><li>Each day includes 270 ticks </li></ul>
  28. 28. Experiment result & comparison <ul><li>3 criteria </li></ul><ul><ul><li>The number of rules </li></ul></ul><ul><ul><li>The accuracy of rules </li></ul></ul><ul><ul><li>The effectiveness of rules </li></ul></ul>
  29. 39. Conclusion <ul><li>Two-phase architecture mining is superior than tradition architecture mining by </li></ul><ul><ul><li>The number of rules </li></ul></ul><ul><ul><li>The accuracy of rules </li></ul></ul><ul><ul><li>The effectiveness of rules </li></ul></ul><ul><li>Some better clustering algorithms may be adopted in the future </li></ul>
  30. 40. Thanks for your attention… Q & A
  31. 41. Appendix A : An example of time series data
  32. 42. Raw data in database
  33. 43. Phase 1: Exploratory data analysis (EDA)
  34. 44. Kernel smoothing
  35. 45. Phase 2: Quantitative inter-transaction association rules
  36. 46. Phase 2: Quantitative inter-transaction association rules
  37. 47. Phase 2: Quantitative inter-transaction association rules
  38. 48. Phase 2: Quantitative inter-transaction association rules
  39. 49. Phase 2: Quantitative inter-transaction association rules
  40. 50. Phase 2: Quantitative inter-transaction association rules
  41. 51. Phase 2: Quantitative inter-transaction association rules
  42. 52. Phase 2: Quantitative inter-transaction association rules
  43. 53. Accuracy Analysis
  44. 54. Accuracy Analysis
  45. 55. Accuracy Analysis

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