A predictive model construction applying rough set methodology for Malaysian stock market returns

Saiful Hafizah Jaaman @ Sharman, Siti Mariyam Shamsuddin, Bariah Yusob, Munira Ismail

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

This paper describes the invention about the stock market prediction for use of investors. More specifically, the stock market's movements are analyzed and predicted in order to retrieve knowledge that could guide investors on when to buy and sell. Through a case study on trading Kuala Lumpur Composite Index and individual firms listed in Bursa Malaysia, rough sets is shown to be an applicable and effective tool for stock market analysis. The ability of rough set approach to discover dependencies in data while eliminating superfluous factors in noisy stock market data deems very useful to extract trading rules. This is very crucial to detect market timing for market timing is detected by capturing the major turning points in data. Nevertheless, one failure of the predictive system developed in this research is its inability to detect numerous minor trends displayed by volatile individual firms, thus the failure to produce effective trading signals to generate profits above the naive strategy for these firms.

Original languageEnglish
Pages (from-to)211-218
Number of pages8
JournalInternational Research Journal of Finance and Economics
Volume30
Publication statusPublished - Aug 2009

Fingerprint

Stock market returns
Methodology
Rough set
Stock market
Market timing
Investors
Factors
Turning point
Invention
Composite index
Profit
Market analysis
Malaysia
Trading rules
Market data
Prediction

Keywords

  • Market movement
  • Rough set theory
  • Stock returns
  • Technical analysis

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

@article{9ee9eba4a33648829e1bae7a029f1f39,
title = "A predictive model construction applying rough set methodology for Malaysian stock market returns",
abstract = "This paper describes the invention about the stock market prediction for use of investors. More specifically, the stock market's movements are analyzed and predicted in order to retrieve knowledge that could guide investors on when to buy and sell. Through a case study on trading Kuala Lumpur Composite Index and individual firms listed in Bursa Malaysia, rough sets is shown to be an applicable and effective tool for stock market analysis. The ability of rough set approach to discover dependencies in data while eliminating superfluous factors in noisy stock market data deems very useful to extract trading rules. This is very crucial to detect market timing for market timing is detected by capturing the major turning points in data. Nevertheless, one failure of the predictive system developed in this research is its inability to detect numerous minor trends displayed by volatile individual firms, thus the failure to produce effective trading signals to generate profits above the naive strategy for these firms.",
keywords = "Market movement, Rough set theory, Stock returns, Technical analysis",
author = "{Jaaman @ Sharman}, {Saiful Hafizah} and Shamsuddin, {Siti Mariyam} and Bariah Yusob and Munira Ismail",
year = "2009",
month = "8",
language = "English",
volume = "30",
pages = "211--218",
journal = "International Research Journal of Finance and Economics",
issn = "1450-2887",
publisher = "EuroJournals, Inc.",

}

TY - JOUR

T1 - A predictive model construction applying rough set methodology for Malaysian stock market returns

AU - Jaaman @ Sharman, Saiful Hafizah

AU - Shamsuddin, Siti Mariyam

AU - Yusob, Bariah

AU - Ismail, Munira

PY - 2009/8

Y1 - 2009/8

N2 - This paper describes the invention about the stock market prediction for use of investors. More specifically, the stock market's movements are analyzed and predicted in order to retrieve knowledge that could guide investors on when to buy and sell. Through a case study on trading Kuala Lumpur Composite Index and individual firms listed in Bursa Malaysia, rough sets is shown to be an applicable and effective tool for stock market analysis. The ability of rough set approach to discover dependencies in data while eliminating superfluous factors in noisy stock market data deems very useful to extract trading rules. This is very crucial to detect market timing for market timing is detected by capturing the major turning points in data. Nevertheless, one failure of the predictive system developed in this research is its inability to detect numerous minor trends displayed by volatile individual firms, thus the failure to produce effective trading signals to generate profits above the naive strategy for these firms.

AB - This paper describes the invention about the stock market prediction for use of investors. More specifically, the stock market's movements are analyzed and predicted in order to retrieve knowledge that could guide investors on when to buy and sell. Through a case study on trading Kuala Lumpur Composite Index and individual firms listed in Bursa Malaysia, rough sets is shown to be an applicable and effective tool for stock market analysis. The ability of rough set approach to discover dependencies in data while eliminating superfluous factors in noisy stock market data deems very useful to extract trading rules. This is very crucial to detect market timing for market timing is detected by capturing the major turning points in data. Nevertheless, one failure of the predictive system developed in this research is its inability to detect numerous minor trends displayed by volatile individual firms, thus the failure to produce effective trading signals to generate profits above the naive strategy for these firms.

KW - Market movement

KW - Rough set theory

KW - Stock returns

KW - Technical analysis

UR - http://www.scopus.com/inward/record.url?scp=69849115333&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=69849115333&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:69849115333

VL - 30

SP - 211

EP - 218

JO - International Research Journal of Finance and Economics

JF - International Research Journal of Finance and Economics

SN - 1450-2887

ER -