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Geometric Case Based Reasoning for Stock Market Prediction

Department of Business Administration, Seoul National University of Science and Technology, 232 Gongneung-ro, Nowon-gu, Seoul 01811, Korea
Department of Software, Hallym University, 1 Hallymdaehak-gil, Chucheon, Gangwon 24252, Korea
Author to whom correspondence should be addressed.
Sustainability 2020, 12(17), 7124;
Received: 20 July 2020 / Revised: 24 August 2020 / Accepted: 25 August 2020 / Published: 1 September 2020
(This article belongs to the Special Issue Business Analytics and Data Mining for Business Sustainability)
Case based reasoning is a knowledge discovery technique that uses similar past problems to solve current new problems. It has been applied to many tasks, including the prediction of temporal variables as well as learning techniques such as neural networks, genetic algorithms, decision trees, etc. This paper presents a geometric criterion for selecting similar cases that serve as an exemplar for the target. The proposed technique, called geometric Case Based Reasoning, uses a shape distance method that uses the number of sign changes of features for the target case, especially when extracting nearest neighbors. Thus, this method overcomes the limitation of conventional case-based reasoning in that it uses Euclidean distance and does not consider how nearest neighbors are similar to the target case in terms of changes between previous and current features in a time series. These concepts are investigated against the backdrop of a practical application involving the prediction of a stock market index. The results show that the proposed technique is significantly better than the random walk model at p < 0.01. However, it was not significantly better than the conventional CBR model in the hit rate measure and did not surpass the conventional CBR in the mean absolute percentage error. View Full-Text
Keywords: artificial intelligence; case based reasoning; learning technique; knowledge discovery; data mining; financial prediction artificial intelligence; case based reasoning; learning technique; knowledge discovery; data mining; financial prediction
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MDPI and ACS Style

Chun, S.-H.; Ko, Y.-W. Geometric Case Based Reasoning for Stock Market Prediction. Sustainability 2020, 12, 7124.

AMA Style

Chun S-H, Ko Y-W. Geometric Case Based Reasoning for Stock Market Prediction. Sustainability. 2020; 12(17):7124.

Chicago/Turabian Style

Chun, Se-Hak, and Young-Woong Ko. 2020. "Geometric Case Based Reasoning for Stock Market Prediction" Sustainability 12, no. 17: 7124.

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