| Summary: | 碩士 === 國立政治大學 === 資訊科學學系 === 101 === Data stream mining is an important research field, because data is usually generated and collected in a form of a stream in many cases in the real world. Financial market data is such an example. It is intrinsically dynamic and usually generated in a sequential manner. In this thesis, we apply data stream mining techniques to the prediction of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures or TAIEX Futures. Our goal is to predict the rising or falling of the futures. The prediction is difficult and the difficulty is associated with concept drift, which indicates changes in the underlying data distribution. Therefore, we focus on concept drift handling. We first show that concept drift occurs frequently in the TAIEX Futures data by referring to the results from an empirical study. In addition, the results indicate that a concept drift detection method can improve the accuracy of the prediction even when it is used with a data stream mining algorithm that does not perform well. Next, we explore methods that can help us identify the types of concept drift. The experimental results indicate that sudden and reoccurring concept drift exist in the TAIEX Futures data. Moreover, we propose an ensemble based algorithm for reoccurring concept drift. The most characteristic feature of the proposed algorithm is that it can adaptively determine the chunk size, which is an important parameter for other concept drift handling algorithms.
|
|---|
