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A Similarity-Based Approach for Financial Time Series Analysis and Forecasting

  • Marcos Vinicius Naves Bedo
  • Davi Pereira dos Santos
  • Daniel S. Kaster
  • Caetano TrainaJr.
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8056)

Abstract

Financial time series analysis have been attracting research interest for several years. Many works have been proposed to perform economic series forecasting, however, it still is a hard endeavor to develop a general model that is able to handle the chaotic nature of the markets. Artificial intelligence methods such as artificial neural networks and support vector machines arose as promising alternatives, but they hide the processing semantics, limiting the result interpretation. In addition, one of the main drawbacks of the existing solutions is that they usually cannot be easily employed as building blocks of new analysis tools. This paper presents a new approach to financial time series forecasting based on similarity between series patterns using a database-driven architecture. We propose a new feature extractor based on visual features associated with a boosted instance-based learning classifier to predict a share’s behavior, thus improving the human analyst understanding and validation of the results. The analysis is defined through extended SQL instructions and executed over a fast and scalable engine, which makes our solution adequate to provide data analysis support for new applications handling large time series datasets. We also present experiments performed on data obtained from distinct market shares. The achieved results show that our approach outperformed existing methods in terms of accuracy, running time and scalability.

Keywords

Financial time series Time series forecasting Similarity retrieval Classifiers Methods 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Marcos Vinicius Naves Bedo
    • 1
  • Davi Pereira dos Santos
    • 1
  • Daniel S. Kaster
    • 2
  • Caetano TrainaJr.
    • 1
  1. 1.Inst. of Math. and Computer ScienceUniversity of São Paulo (USP)Brazil
  2. 2.Dept. of Computer ScienceUniversity of Londrina (UEL)Brazil

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