Identifying Patterns in Financial Markets
New Approach Combining Rules Between PIPs and SAX
Nuno C.G. Horta, João Leitão, Rui Ferreira Neves, et al.
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ca. 53,49 €
Springer International Publishing 
Naturwissenschaften, Medizin, Informatik, Technik / Allgemeines, Lexika
Beschreibung
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.
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Schlagwörter
SAX representation, genetic algorithm, perceptually important points, pattern discovery, investment rules, algorithm analysis and problem complexity, quantitative finance