Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/21357
Title: Evolutionary time series segmentation for stock data mining
Authors: Chung, FL 
Fu, TC
Luk, RWP 
Ng, VTY 
Keywords: Data mining
Evolutionary computation
Financial data processing
Optimisation
Pattern matching
Stock markets
Time series
Issue Date: 2002
Publisher: IEEE
Source: 2002 IEEE International Conference on Data Mining, 2002 : ICDM 2003 : proceedings : December 2002, p. 83-90 How to cite?
Abstract: Stock data in the form of multiple time series are difficult to process, analyze and mine. However, when they can be transformed into meaningful symbols like technical patterns, it becomes easier. Most recent work on time series queries concentrates only on how to identify a given pattern from a time series. Researchers do not consider the problem of identifying a suitable set of time points for segmenting the time series in accordance with a given set of pattern templates (e.g., a set of technical patterns for stock analysis). On the other hand, using fixed length segmentation is a primitive approach to this problem; hence, a dynamic approach (with high controllability) is preferred so that the time series can be segmented flexibly and effectively according to the needs of users and applications. In view of the fact that such a segmentation problem is an optimization problem and evolutionary computation is an appropriate tool to solve it, we propose an evolutionary time series segmentation algorithm. This approach allows a sizeable set of stock patterns to be generated for mining or query. In addition, defining the similarity between time series (or time series segments) is of fundamental importance in fitness computation. By identifying perceptually important points directly from the time domain, time series segments and templates of different lengths can be compared and intuitive pattern matching can be carried out in an effective and efficient manner. Encouraging experimental results are reported from tests that segment the time series of selected Hong Kong stocks.
URI: http://hdl.handle.net/10397/21357
ISBN: 0-7695-1754-4
DOI: 10.1109/ICDM.2002.1183889
Appears in Collections:Conference Paper

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