Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping

Thunchira Thongmee; Hiroto Suzuki; Takahiro Ohno; Udom Silparcha

doi:10.1109/INISTA.2014.6873604

Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping

Thunchira Thongmee, Hiroto Suzuki, Takahiro Ohno, Udom Silparcha

School of Creative Science and Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

1 Citation (Scopus)

Abstract

This paper proposes the Blockwise Strong Relationship (BSR) method that calculates the degree of relationship between any pair of stocks based on only their prices. Our method deploys the data transformation adapted from the symbolic aggregation approximation (SAX) and the distance measure using dynamic time warping (DTW). We propose that the time series data should be processed in blocks of some appropriate size rather than the whole series at once. The experiment was done using IMI Energy indices. The result shows that our method can accurately draw the strongest related pair of stocks out of those that all look related on the surface.

Original language	English
Title of host publication	INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings
Publisher	IEEE Computer Society
Pages	104-109
Number of pages	6
ISBN (Print)	9781479930197
DOIs	https://doi.org/10.1109/INISTA.2014.6873604
Publication status	Published - 2014 Jan 1
Event	2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014 - Alberobello, Italy Duration: 2014 Jun 23 → 2014 Jun 25

Publication series

Name	INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings

Conference

Conference	2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014
Country/Territory	Italy
City	Alberobello
Period	14/6/23 → 14/6/25

Keywords

Dynamic time warping
Symbolic representation
Time series

ASJC Scopus subject areas

Artificial Intelligence
Computer Science Applications

Access to Document

10.1109/INISTA.2014.6873604

Cite this

Thongmee, T., Suzuki, H., Ohno, T., & Silparcha, U. (2014). Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping. In INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings (pp. 104-109). [6873604] (INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings). IEEE Computer Society. https://doi.org/10.1109/INISTA.2014.6873604

Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping. / Thongmee, Thunchira; Suzuki, Hiroto; Ohno, Takahiro et al.

INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings. IEEE Computer Society, 2014. p. 104-109 6873604 (INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Thongmee, T, Suzuki, H, Ohno, T & Silparcha, U 2014, Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping. in INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings., 6873604, INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings, IEEE Computer Society, pp. 104-109, 2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014, Alberobello, Italy, 14/6/23. https://doi.org/10.1109/INISTA.2014.6873604

Thongmee T, Suzuki H, Ohno T, Silparcha U. Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping. In INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings. IEEE Computer Society. 2014. p. 104-109. 6873604. (INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings). doi: 10.1109/INISTA.2014.6873604

Thongmee, Thunchira ; Suzuki, Hiroto ; Ohno, Takahiro et al. / Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping. INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings. IEEE Computer Society, 2014. pp. 104-109 (INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings).

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abstract = "This paper proposes the Blockwise Strong Relationship (BSR) method that calculates the degree of relationship between any pair of stocks based on only their prices. Our method deploys the data transformation adapted from the symbolic aggregation approximation (SAX) and the distance measure using dynamic time warping (DTW). We propose that the time series data should be processed in blocks of some appropriate size rather than the whole series at once. The experiment was done using IMI Energy indices. The result shows that our method can accurately draw the strongest related pair of stocks out of those that all look related on the surface.",

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Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping

Abstract

Publication series

Conference

Keywords

ASJC Scopus subject areas

Access to Document

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