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Data Mining Application to Financial Market to Discover the Behavior of Entry Point – A Case Study of Taiwan Index Futures Market

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Harmony Search Algorithm

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 382))

Abstract

The value of the investment method is that investors who are anxious to pursue, there are many value investing methods have been proposed, but only a minority of the value investing method were proved to be effective. The study is based on messages generated defined value of the investment by Steidlmayer in 1984 proposed market profile theory. In order to extract trading behavior of dealer and product value by the huge financial trading information, the model used the trading data to capture feature patterns, and find the double distribution trend day generated by market profile. The experimental results show the single print as an entry point, and the reference to historical support and pressure line as an exit point. The results show the returns are 24.09 points and the accuracy achieved 57.45%.The results had shown the analysis model can find the investment goods real value from the huge trading information, and help investors obtain excess returns.

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Author information

Authors and Affiliations

  1. Institute of Information Management, National Chiao Tung University, Hsinchu, 30010, Taiwan, R.O.C

    Mei-Chen Wu, Bo-Wen Yang, Ya-Hui Huang & An-Pin Chen

  2. Department of Information Management, Minghsin University of Science and Technology, Hsinchu, 30401, Taiwan, R.O.C

    Chiou-Hung Lin

Authors
  1. Mei-Chen Wu
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  2. Bo-Wen Yang
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  3. Chiou-Hung Lin
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  4. Ya-Hui Huang
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  5. An-Pin Chen
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Corresponding author

Correspondence to Mei-Chen Wu .

Editor information

Editors and Affiliations

  1. Civil, Environmental and Architectural Engineering, Korea University, Seoul, Korea (Republic of)

    Joong Hoon Kim

  2. Energy IT, Gachon University, Seongnam-Si, Korea (Republic of)

    Zong Woo Geem

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© 2016 Springer-Verlag Berlin Heidelberg

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Wu, MC., Yang, BW., Lin, CH., Huang, YH., Chen, AP. (2016). Data Mining Application to Financial Market to Discover the Behavior of Entry Point – A Case Study of Taiwan Index Futures Market. In: Kim, J., Geem, Z. (eds) Harmony Search Algorithm. Advances in Intelligent Systems and Computing, vol 382. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-47926-1_29

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  • DOI: https://doi.org/10.1007/978-3-662-47926-1_29

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-662-47925-4

  • Online ISBN: 978-3-662-47926-1

  • eBook Packages: EngineeringEngineering (R0)

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