The Application of Fuzzy Association Rule on Co-movement Analyze of Indonesian Stock Price

One type of investments in securities is stock as a sign of ownership for individual or corporation within a company. For making investment strategy and portfolio, investors should pay more attention to the co-movement of the stock price. Several methods can be used to see moving of the stock price, one of them is data mining. In this paper, association rule mining algorithm is used to find the stock movement relationship of inter-company in Indonesia. Fuzzy approach is used as tools to categorize data based on the time and transactions sequence. Experimental results show that association rule method can solve the problems. By using some values of minimum support, some strong association rules among companies can be obtained.