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Comparison of subsequence pattern matching methods for financial time series
Xueyuan Gong; Yain-Whar Si
2013-12-01
Conference Name9th International Conference on Computational Intelligence and Security (CIS)
Source Publication2013 Ninth International Conference on Computational Intelligence and Security
Pages154-158
Conference Date14-15 Dec. 2013
Conference PlaceLeshan, China
Abstract

In contrast to general time series analysis, only a few numbers of studies are devoted to subsequence pattern matching methods for financial time series. In this paper, we compare the processing time and accuracy of three well-known pattern matching methods from financial time series domain and two pattern matching methods from general time series area. Our experiment was conducted on the historical data of Hang Seng Index (HSI) from Hong Kong Stock Market. Our experiment reveals that segmentation step and time distortion issues can significantly affect the performance of these methods. © 2013 IEEE.

KeywordFinancial Time Series Segmentation Subsequence Pattern Matching Technical Pattern
DOI10.1109/CIS.2013.39
URLView the original
Indexed BySCI
Language英语
WOS Research AreaComputer Science
WOS SubjectComputer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Theory & Methods
WOS IDWOS:000351209000032
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Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeConference paper
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
AffiliationDepartment of Computer and Information Science University of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Xueyuan Gong,Yain-Whar Si. Comparison of subsequence pattern matching methods for financial time series[C],2013:154-158.
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