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Identifying Patterns in Financial Markets

New Approach Combining Rules Between PIPs and SAX

  • João Leitão
  • Rui Ferreira Neves
  • Nuno C.G. Horta

Part of the SpringerBriefs in Applied Sciences and Technology book series (BRIEFSAPPLSCIENCES)

Also part of the SpringerBriefs in Computational Intelligence book sub series (BRIEFSINTELL)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 1-2
  3. João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 3-27
  4. João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 29-44
  5. João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 45-64
  6. João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 65-66

About this book

Introduction

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.

Keywords

pattern discovery perceptually important points genetic algorithm investment rules SAX representation

Authors and affiliations

  • João Leitão
    • 1
  • Rui Ferreira Neves
    • 2
  • Nuno C.G. Horta
    • 3
  1. 1.Instituto Superior TécnicoInstituto de TelecomuniçõesLisboaPortugal
  2. 2.Instituto Superior TécnicoInstituto de TelecomuniçõesLisboaPortugal
  3. 3.Instituto Superior TécnicoInstituto de TelecomunicaçõesLisbonPortugal

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-70160-8
  • Copyright Information The Author(s) 2018
  • Publisher Name Springer, Cham
  • eBook Packages Engineering
  • Print ISBN 978-3-319-70159-2
  • Online ISBN 978-3-319-70160-8
  • Series Print ISSN 2191-530X
  • Series Online ISSN 2191-5318
  • Buy this book on publisher's site
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