Residential College | false |
Status | 已發表Published |
Financial time series pattern matching with extended UCR Suite and Support Vector Machine | |
Xueyuan Gong; Yain-Whar Si; Simon Fong; Robert P. Biuk-Aghai | |
2016-02-19 | |
Source Publication | Expert Systems with Applications |
ABS Journal Level | 1 |
ISSN | 0957-4174 |
Volume | 55Pages:284-296 |
Abstract | Chart patterns are frequently used by financial analysts for predicting price trends in stock markets. Identifying chart patterns from historical price data can be regarded as a subsequence pattern-matching problem in financial time series data mining. A two-phase method is commonly used for subsequence pattern-matching, which includes segmentation of the time series and similarity calculation between subsequences and the template patterns. In this paper, we propose a novel approach for locating chart patterns in financial time series. In this approach, we extend the subsequence search algorithm UCR Suite with a Support Vector Machine (SVM) to train a classifier for chart pattern-matching. The experimental results show that our approach has achieved significant improvement over other methods in terms of speed and accuracy. |
Keyword | Financial Time Series Subsequence Matching Perceptually Important Points Ucr Suite Support Vector Machine |
DOI | 10.1016/j.eswa.2016.02.017 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Computer Science ; Engineering ; Operations Research & Management Science |
WOS Subject | Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic ; Operations Research & Management Science |
WOS ID | WOS:000374811000022 |
Publisher | PERGAMON-ELSEVIER SCIENCE LTD, THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND |
Scopus ID | 2-s2.0-84960100435 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF COMPUTER AND INFORMATION SCIENCE |
Corresponding Author | Yain-Whar Si |
Affiliation | Department of Computer and Information Science, University of Macau, China |
First Author Affilication | University of Macau |
Corresponding Author Affilication | University of Macau |
Recommended Citation GB/T 7714 | Xueyuan Gong,Yain-Whar Si,Simon Fong,et al. Financial time series pattern matching with extended UCR Suite and Support Vector Machine[J]. Expert Systems with Applications, 2016, 55, 284-296. |
APA | Xueyuan Gong., Yain-Whar Si., Simon Fong., & Robert P. Biuk-Aghai (2016). Financial time series pattern matching with extended UCR Suite and Support Vector Machine. Expert Systems with Applications, 55, 284-296. |
MLA | Xueyuan Gong,et al."Financial time series pattern matching with extended UCR Suite and Support Vector Machine".Expert Systems with Applications 55(2016):284-296. |
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