Book Review: Data Mining in Finance

June 6, 2008 by
Filed under: Uncategorized 

With a title such as “Data Mining in Finance: Advances in Relational and Hybrid Methods”, one can think that this book is a set of research papers in this topic. However, it is not the case. The authors, Kovalerchuk and Vityaev, have written more than 300 pages about applying data mining techniques in finance.

Although the main topic of the book is relational data mining and its financial applications, there are several other topics:

  • Statistical models
  • Autoregression models
  • Neural networks
  • Decision trees
  • Naive Bayes
  • Fuzzy logic

There are also three other interesting chapters in the book. First, the introduction explains both the data mining (existing techniques) and the financial fields (technical and fundamental analysis). Second, a chapter about application of relational data mining to finance. Third, a chapter with comparison of techniques presented in the book. It can be noted that the foreword is written by Gregory Piatetsky-Shapiro from KDnuggets.

An advantage of the book is that both finance and data mining concepts are explained. Thus, one can read the book without the need of other resources. Before applying a given technique, the authors describe it, explain the data as well as the financial application need. Maybe more attention should have been paid to results and their explanations. They are sometimes confusing and lack some descriptions. Also the book is a little old now (2000) and due to this, one can be disappointed not to see SVM for example. Who knows, maybe in a next edition of the book. Finally, although not up to date, this book should be read by anybody applying data mining in finance.

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One Comment on Book Review: Data Mining in Finance

  1. Anonymous on Sun, 22nd Jun 2008 1:32 am
  2. Epic Systems together with Beemode (www.beemode.com) have developed a Data Visualization software “Trend Compass” almost ready to be released soon. It is an extension to Gapminder which was invented by a Swedish Professor. You can view it :

    http://www.gapminder.org

    It is a new concept in viewing statistics and trends in an animated way. It could be used in presentation, analysis,research, decision making, etc.

    Here are some links :
    – Part of what we did with some Governmental institution:
    http://www.epicsyst.com/visual.swf

    – A project we did with Princeton University on US unemployment :
    http://www.epicsyst.com/main3.swf

    – April 2008 Media Monitoring on Cars TV ads (ad duration vs occurences over time) :
    http://www.epicsyst.com/ads/cars.swf

    – Ads Monitoring on TV Sattelite Channels during April 2008. Pick Duration (Ads daily duration) vs Repeat (Ads repetition per day).
    http://www.epicsyst.com/ads3/allchannels.swf

    I hope you could evaluate it and give me your comments. So many ideas are there.

    You can test the software by uploading data on our website and getting the corresponding Flash charts. This is for a limited number of users.

    Regards.

    Eng. Hisham Abdel Maguid
    http://www.epicsyst.com

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