TY - GEN
T1 - Finding Strong Relationships of stock prices using blockwise symbolic representation with dynamic time warping
AU - Thongmee, Thunchira
AU - Suzuki, Hiroto
AU - Ohno, Takahiro
AU - Silparcha, Udom
PY - 2014/1/1
Y1 - 2014/1/1
N2 - 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.
AB - 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.
KW - Dynamic time warping
KW - Symbolic representation
KW - Time series
UR - http://www.scopus.com/inward/record.url?scp=84906657338&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84906657338&partnerID=8YFLogxK
U2 - 10.1109/INISTA.2014.6873604
DO - 10.1109/INISTA.2014.6873604
M3 - Conference contribution
AN - SCOPUS:84906657338
SN - 9781479930197
T3 - INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings
SP - 104
EP - 109
BT - INISTA 2014 - IEEE International Symposium on Innovations in Intelligent Systems and Applications, Proceedings
PB - IEEE Computer Society
T2 - 2014 IEEE International Symposium on Innovations in Intelligent Systems and Applications, INISTA 2014
Y2 - 23 June 2014 through 25 June 2014
ER -