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Customized Decision Tree for Fast Multi-resolution Chart Patterns Classification
Sun, Qizhou; Si, Yain-Whar
2020-08
Conference Name13th International Conference on Knowledge Science, Engineering and Management, KSEM 2020
Source PublicationLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume12274 LNAI
Pages446 - 458
Conference Date28-30 August 2020
Conference PlaceHangzhou, China
CountryChina
Publication PlaceCham
PublisherSpringer
Abstract

Given the advancement in algorithmic trading, the needs for real-time monitoring of patterns and execution of trades in stock exchanges become increasing important for investors. However, real-time monitoring of patterns from a vast number of markets become inefficient when tens of thousands of time series are required to be processed. In order to alleviate these problems, we propose a novel approach called Multi-resolution Chart Patterns Classification (FMCPC) based on a decision tree. In the proposed approach, a Customized Decision Tree (CDT) is built for pattern matching. CDT starts with a detailed analysis of known patterns. CDT then forms generalizations of these examples by identifying commonalities for designing decision rules. To evaluate our approach, experiments are conducted on the real datasets containing 2,527,800 data points from 19,150 stocks across top 10 Exchanges in the world. Our results reveal that FMCPC with CDT can effectively identify the chart patterns within 1 min.

KeywordFinancial Time Series Multi-resolution Chart Patterns Customized Decision Tree
DOI10.1007/978-3-030-55130-8_39
URLView the original
Indexed ByCPCI-S
Language英語English
WOS Research AreaComputer Science ; Operations Research & Management Science
WOS SubjectComputer Science, Information Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science
WOS IDWOS:000886461700039
The Source to ArticlePB_Publication
Scopus ID2-s2.0-85090094438
Fulltext Access
Citation statistics
Document TypeConference paper
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorSi, Yain-Whar
AffiliationDepartment of Computer and Information Science, University of Macau Avenida da Universidade, Taipa, Macau, China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Sun, Qizhou,Si, Yain-Whar. Customized Decision Tree for Fast Multi-resolution Chart Patterns Classification[C], Cham:Springer, 2020, 446 - 458.
APA Sun, Qizhou., & Si, Yain-Whar (2020). Customized Decision Tree for Fast Multi-resolution Chart Patterns Classification. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 12274 LNAI, 446 - 458.
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