Mining influence in evolving entities: A study on stock market

• Published in: 2014 International Conference on Data Science and Advanced Analytics (DSAA) pp. 244 - 250
• Main Authors: Chang Liao, Yinfei Huang, Xibin Shi, Xin Jin
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.10.2014
• Subjects: Accuracy; Algorithm design and analysis; Approximation algorithms; Heuristic algorithms; Silicon; Stock markets; Time series analysis
• DOI: 10.1109/DSAA.2014.7058080

Mining influence in evolving entities is an important but challenging task, partly due to complex nature of it. In this paper, we mainly focus on the following problems on it with respect to stock market: (1) How to identify pairs of stocks that influence one another; (2) How to quantify the influence and capture group effects and dynamic nature of influence of each stock; (3) How to adopt approximate approaches so that we can improve the efficiency of the proposed model. To tackle these problems, a novel graph-based mining method, which utilizes time series and volume information collaboratively is proposed, and several optimized algorithms are presented. Besides, two extended metrics to capture the dynamic and group nature of influence based on the model are derived. Furthermore, we also suggest a potential application of the model to stock price prediction. The experimental results on both synthetic and real data sets verify the effectiveness and efficiency of our approach. Some insights on this paper can be the ideas of analyzing the influence of evolving entities using the social network analysis methods.