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Identifying Patterns in Financial Markets

New Approach Combining Rules Between PIPs and SAX

  • Book
  • © 2018

Overview

Authors:
  1. João Leitão

    1. Instituto Superior Técnico, Instituto de Telecomunições, Lisboa, Portugal

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  2. Rui Ferreira Neves

    1. Instituto Superior Técnico, Instituto de Telecomunições, Lisboa, Portugal

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  3. Nuno C.G. Horta

    1. Instituto Superior Técnico, Instituto de Telecomunicações, Lisbon, Portugal

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  • Proposes a new methodology that has been tested with real data
  • Approach combining multiple exit/sell methods namely time, price and pattern
  • Suggests the use of a GA adaptive approach able to automatically identify multiple patterns and generate trading rules
  • Includes supplementary material: sn.pub/extras

Part of the book series: SpringerBriefs in Applied Sciences and Technology (BRIEFSAPPLSCIENCES)

Part of the book sub series: SpringerBriefs in Computational Intelligence (BRIEFSINTELL)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xvii
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  2. Introduction

    • João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 1-2

  3. Related Work

    • João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 3-27

  4. SIR/GA Approach

    • João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 29-44

  5. Experiments and Results

    • João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 45-64

  6. Conclusions and Future Work

    • João Leitão, Rui Ferreira Neves, Nuno C. G. Horta
    Pages 65-66
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Keywords

About this book

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.

Authors and Affiliations

  • Instituto Superior Técnico, Instituto de Telecomunições, Lisboa, Portugal

    João Leitão, Rui Ferreira Neves

  • Instituto Superior Técnico, Instituto de Telecomunicações, Lisbon, Portugal

    Nuno C.G. Horta

About the authors

João Maria Rodrigues Leitão is a software engineer at PASS, S.A., Portugal. His research activity focus on pattern recognition and evolutionary computation in financial markets.

Rui Ferreira  Neves is a professor at Instituto Superior Técnico, Portugal, since 2005. His research activity focus on evolutionary computation and pattern matching applied to the financial markets, sensor networks, embedded systems and mixed signal integrated circuits. He uses both fundamental, technical and pattern matching indicators to find the evolution of the financial markets.

Nuno Horta is the Head of the Integrated Circuits Group at Instituto de Telecomunicações, Portugal. His research interests are mainly in analog and mixed-signal IC design, analog IC design automation, soft computing and data science.

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