Identifying Patterns in Financial Markets

New Approach Combining Rules Between PIPs and SAX
1. Auflage 2018
ISBN: 978-3-319-70159-2
Verlag: Springer

Buch, Englisch, 66 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 194 g

Reihe: SpringerBriefs in Applied Sciences and Technology

This book describes a new pattern discovery approach based on the combination among rules between Perceptually Important Points (PIPs) and the Symbolic Aggregate approximation (SAX) representation optimized by Genetic Algorithm (GA). The proposed approach was tested with real data from S&P500 index and all the results obtained outperform the Buy&Hold strategy. Three different case studies are presented by the authors.

Autoren/Hrsg.

Leitão, João

Neves, Rui Ferreira

Horta, Nuno C.G.

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik EDV | Informatik Informatik Künstliche Intelligenz Mustererkennung, Biometrik
• Mathematik | Informatik EDV | Informatik Informatik Theoretische Informatik

Inhaltsverzeichnis

Introduction.- Related Work.- SIR/GA approach.- Case studies.

Über Autor(innen)

João Maria Rodrigues Leitão is a software engineer at PASS, S.A., Portugal. His research activity focus on pattern recognition and evolutionary computation in financial markets.
Rui Ferreira  Neves is a professor at Instituto Superior Técnico, Portugal, since 2005. His research activity focus on evolutionary computation and pattern matching applied to the financial markets, sensor networks, embedded systems and mixed signal integrated circuits. He uses both fundamental, technical and pattern matching indicators to find the evolution of the financial markets.

Nuno Horta is the Head of the Integrated Circuits Group at Instituto de Telecomunicações, Portugal. His research interests are mainly in analog and mixed-signal IC design, analog IC design automation, soft computing and data science.