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.
Series
Edition
Language
Place of publication
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Illustrations
69 s/w Abbildungen
XVII, 66 p. 69 illus.
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Weight
ISBN-13
978-3-319-70159-2 (9783319701592)
DOI
10.1007/978-3-319-70160-8
Schweitzer Classification
João Maria Rodrigues Leitão
is a software engineer at PASS, S.A., Portugal. His research activity focus on pattern recognition and evolutionary computation in financial markets.
Rui Ferreira Neves
is a professor at Instituto Superior Técnico, Portugal, since 2005. His research activity focus on evolutionary computation and pattern matching applied to the financial markets, sensor networks, embedded systems and mixed signal integrated circuits. He uses both fundamental, technical and pattern matching indicators to find the evolution of the financial markets.
Nuno Horta
is the Head of the Integrated Circuits Group at Instituto de Telecomunicações, Portugal. His research interests are mainly in analog and mixed-signal IC design, analog IC design automation, soft computing and data science.
Introduction.- Related Work.- SIR/GA approach.- Case studies.
