Abstract
Based on a algorithm for pattern matching in character strings, a pattern description language (PDL) is developed. The compilation of a regular expression, that conforms to the PDL, creates a non deterministic pattern matching machine (PMM) that can be used as a searching device for detecting sequential patterns or functional (statistical) relationships in multidimensional data. As an example, a chart pattern of ex ante unknown length is encoded and its occurrences are searched for in financial data.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Agraval, R., Srikant, R. (1995): Mining Sequential Patterns, In: Proceedings of the 11th International Conference on Data Engineering, ICDE
Garafalakis, M., Rastogi, R., Shim, K., SPIRIT (1999): Sequential Pattern Mining with Regular Expression Constraints, In Proceedings of the 25th VLDB Conference, Edinburgh, Scotland
Iba., H., Nikolaev, N. (2000): Genetic programming polynomial models of financial data series, In: Proceedings of the 2000 Congress on Evolutionary Computation CEC00, La Jolla, USA. IEEE Press
LeBaron, B., Arthur, W. B., Palmer, R. (1999): Time series properties of an artificial stock market, Journal of Ec. Dynamics & Control, 23, 1487–1516
Mitchell, M. (1998): An Introduction to Genetic Algorithms, MIT Press
Packard, N. (1990): A Genetic Learning Algorithm for the Analysis of Complex Data, Complex Systems 4, No. 5, 543–572
Plummer, T. (1998): Forecasting Financial Markets, Kogan Page
Santini, M., Tettamanzi, A. (2001): Genetic Programming for Financial Time Series Prediction, In: Proceedings of the 4th European Conference, EuroGP
Sedgewick, R. (1988): Algorithms, Addison Wesley
Szpiro, G. (1997): A Search for Hidden Relationships: Data Mining with Genetic Algorithms, Computational Economics, 10, 267–277
Wolberg, J. R. (2000): Expert Trading Systems, John Wiley & Sons
Yoshihara., I., Aoyama, T., Yasunaga, M. (2000): GP-based modeling method for time series prediction with parameter optimization and node alternation, In Proc. of the 2000 Congress of Evolutionary Computation CEC00, La Jolla, USA. IEEE Press
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Polanski, A. (2004). Pattern Matching in Multidimensional Time Series. In: Chen, SH., Wang, P.P. (eds) Computational Intelligence in Economics and Finance. Advanced Information Processing. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06373-6_11
Download citation
DOI: https://doi.org/10.1007/978-3-662-06373-6_11
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-07902-3
Online ISBN: 978-3-662-06373-6
eBook Packages: Springer Book Archive