Representing financial time series based on important extrema points

Authors:
Xueyan Wu;Daoping Huang
Affiliations:
College of Automation Science and Engineering, South China University of Technology and School of Management, Guangdong University of Technology, Guangzhou, China;College of Automation Science and Engineering, South China University of Technology, Guangzhou, China
Venue:
IITA'09 Proceedings of the 3rd international conference on Intelligent information technology application
Year:
2009

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Abstract

This paper presents a novel method for financial time series representation. The method can generate accurate and effective representation and segmentation in different resolutions and get better experimental results on real stock data.