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Mining subsequent trend patterns from financial time series
Wan,Yuqing1; Lau,Raymond Yiu Keung2; Si,Yain Whar1
2020-05
Source PublicationInternational Journal of Wavelets Multiresolution and Information Processing
ISSN0219-6913
Volume18Issue:3
Abstract

Chart patterns are one of the important tools used by the financial analysts for predicting future price trends (subsequent trends) in stock markets. Although many works related to the descriptions of chart patterns and several effective methods to identify chart patterns from the financial time series have been proposed in recent years, there is no in-depth study about the general characteristics of the subsequent trends. In this paper, we proposed a general framework for mining subsequent trend for chart patterns. We extensively analyze the characteristics of subsequent trends of chart patterns found with the proposed framework. Based on the analysis, we propose a concept called subsequent trend pattern by mining frequently occurring shapes from these trends. The process of subsequent trend pattern mining was evaluated on a dataset containing 502 time series from S&P 500 and a test dataset containing 494 stocks from Yahoo finance. The proposed concept of subsequent trend pattern provides a solid foundation for the understanding of chart patterns in predicting future price movement and extends the formal definition of chart patterns.

KeywordChart Patterns Financial Time Series Subsequent Trend Patterns Technical Analysis
DOI10.1142/S0219691320500101
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Software Engineering ; Mathematics, Interdisciplinary Applications
WOS IDWOS:000541861400004
PublisherWORLD SCIENTIFIC PUBL CO PTE LTD, 5 TOH TUCK LINK, SINGAPORE 596224, SINGAPORE
Scopus ID2-s2.0-85077881339
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Document TypeJournal article
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Affiliation1.Department of Computer and Information Science,University of Macau,China
2.Department of Information Systems,City University of Hong Kong,Hong Kong,Hong Kong
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Wan,Yuqing,Lau,Raymond Yiu Keung,Si,Yain Whar. Mining subsequent trend patterns from financial time series[J]. International Journal of Wavelets Multiresolution and Information Processing, 2020, 18(3).
APA Wan,Yuqing., Lau,Raymond Yiu Keung., & Si,Yain Whar (2020). Mining subsequent trend patterns from financial time series. International Journal of Wavelets Multiresolution and Information Processing, 18(3).
MLA Wan,Yuqing,et al."Mining subsequent trend patterns from financial time series".International Journal of Wavelets Multiresolution and Information Processing 18.3(2020).
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