Identifying Patterns in Financial Markets New Approach Combining Rules Between PIPs and SAX

Author / Creator

Leitão, João author

Available as

Online

Summary

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 ...

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.

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