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Adaptive neuro fuzzy inference system for chart pattern matching in financial time series
Yuqing Wan; Yain-Whar Si
2017-08
Source PublicationApplied Soft Computing
ISSN1568-4946
Volume57Pages:1-18
Abstract

In technical analysis, the appearance of chart patterns in financial time series is considered as one of the crucial signals in predicting future price trend. In recent years, various classification methods have been proposed by researchers to locate and identify potential chart patterns from input time series. This paper presents a novel application of adaptive neuro fuzzy inference system (ANFIS) for chart pattern matching in financial time series. The construction of ANFIS for chart patterns is described in the paper. In addition, we propose a method to determine the thresholds to implement chart patterns matching with the trained ANFIS model. The effectiveness and efficiency of the ANFIS model are compared with six pattern matching approaches on both synthetic datasets and real datasets. Experimental results reveal that the ANFIS model is effective in classifying different chart patterns when compared with other pattern matching approaches. (C) 2017 Elsevier B.V. All rights reserved.

KeywordChart Patterns Financial Time Series Pattern Matching Adaptive Neuro Fuzzy Inference System
DOI10.1016/j.asoc.2017.03.023
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaComputer Science
WOS SubjectComputer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications
WOS IDWOS:000405457200001
PublisherELSEVIER SCIENCE BV
The Source to ArticleWOS
Scopus ID2-s2.0-85017197812
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorYain-Whar Si
AffiliationDepartment of Computer and Information Science, University of Macau, Macau, China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Yuqing Wan,Yain-Whar Si. Adaptive neuro fuzzy inference system for chart pattern matching in financial time series[J]. Applied Soft Computing, 2017, 57, 1-18.
APA Yuqing Wan., & Yain-Whar Si (2017). Adaptive neuro fuzzy inference system for chart pattern matching in financial time series. Applied Soft Computing, 57, 1-18.
MLA Yuqing Wan,et al."Adaptive neuro fuzzy inference system for chart pattern matching in financial time series".Applied Soft Computing 57(2017):1-18.
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