Piotr Łukasiewicz

Associations Rules Between Sector Indices on the Warsaw Stock Exchange

In this paper an Association Rules data mining technique is adopted to explore the co-movement between sector indices listed on the Warsaw Stock Exchange. The sector indices describe various parts of the Polish economy as well as Ukrainian companies and are not as sensitive to individual random events as single companies are. The measures describing discovered rules are calculated and strong rules are selected. Based on the strong rules the relations between parts of the Polish economy are presented. The interesting mutual interrelations between parts of Polish and Ukrainian economies are also observed.

Association Rules in Data with Various Time Periods

In this paper an Association Rules data mining technique is adopted to explore the co-movement between sector indices listed on the Warsaw Stock Exchange. The indices are related to the various sectors of the economy. Because of the different time ranges the various indices are traded, the special approach has been used. That allowed us to analyze data in a wide range of time. The results were compared to those obtained using the tradi-tional approach. We observed higher values of measures and smaller errors for a majority of rules.