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Effect of segmentation on financial time series pattern matching
Yuqing Wan; Xueyuan Gong; Yain-Whar Si
2016
Source PublicationApplied Soft Computing
ISSN15684946
Volume38Pages:346
Abstract

In financial time series pattern matching, segmentation is often performed as a pre-processing step to reduce the data points from the input sequence. The segmentation process extracts important data points and produces a time series with reduced data points. In this paper, we evaluate the effectiveness and accuracy of four approaches to financial time series pattern matching when used with four segmentation methods, the perceptually important points, piecewise aggregate approximation, piecewise linear approximation and turning points methods. The pattern matching approaches analysed in this paper include the template-based, rule-based, hybrid, decision tree, and Symbolic Aggregate approXimation (SAX) approaches. The analysis is performed twice, on a real data set (of Hang Seng Index prices from the Hong Kong stock market) and on a synthetic data set containing positive and negative cases of a technical pattern known as head-and-shoulders. © 2015 Elsevier B.V. All rights reserved.

KeywordFinancial Time Series Head-and-shoulders Pattern Matching Segmentation Technical Pattern
DOI10.1016/j.asoc.2015.10.012
URLView the original
Indexed BySCI
Language英语
WOS Research AreaComputer Science
WOS SubjectComputer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications Document Information
WOS IDWOS:000366805900025
The Source to ArticleScopus
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Citation statistics
Cited Times [WOS]:13   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorYuqing Wan; Xueyuan Gong; Yain-Whar Si
AffiliationDepartment of Computer and Information Science, University of Macau, Macau
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Yuqing Wan,Xueyuan Gong,Yain-Whar Si. Effect of segmentation on financial time series pattern matching[J]. Applied Soft Computing,2016,38:346.
APA Yuqing Wan,Xueyuan Gong,&Yain-Whar Si.(2016).Effect of segmentation on financial time series pattern matching.Applied Soft Computing,38,346.
MLA Yuqing Wan,et al."Effect of segmentation on financial time series pattern matching".Applied Soft Computing 38(2016):346.
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