Identifying Patterns in Financial Markets

New Approach Combining Rules Between PIPs and SAX

João Leitão, Rui Ferreira Neves, Nuno C.G. Horta (Autoren)

Buch | Softcover

XVII, 66 Seiten

2018 | 1st ed. 2018
Springer International Publishing (Verlag)
978-3-319-70159-2 (ISBN)

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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.

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.

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

Erscheinungsdatum	28.01.2018
Reihe/Serie	SpringerBriefs in Applied Sciences and Technology
Reihe/Serie	SpringerBriefs in Computational Intelligence
Zusatzinfo	XVII, 66 p. 69 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	142 g
Themenwelt	Informatik ► Theorie / Studium ► Algorithmen
	Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik
	Technik
	Wirtschaft ► Betriebswirtschaft / Management
Schlagworte	Algorithm analysis and problem complexity • Genetic Algorithm • investment rules • Pattern Discovery • perceptually important points • Quantitative Finance • SAX Representation
ISBN-10	3-319-70159-2 / 3319701592
ISBN-13	978-3-319-70159-2 / 9783319701592
Zustand	Neuware