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

Thunchira Thongmee, Hiroto Suzuki, Takahiro Ohno, Udom Silparcha

研究成果: Conference contribution

1 被引用数 (Scopus)

抄録

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.

本文言語English
ホスト出版物のタイトルINISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings
出版社IEEE Computer Society
ページ104-109
ページ数6
ISBN(印刷版)9781479930197
DOI
出版ステータスPublished - 2014 1 1
イベント2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014 - Alberobello, Italy
継続期間: 2014 6 232014 6 25

出版物シリーズ

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

Conference

Conference2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014
国/地域Italy
CityAlberobello
Period14/6/2314/6/25

ASJC Scopus subject areas

  • 人工知能
  • コンピュータ サイエンスの応用

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