TY - GEN
T1 - Mining for core patterns in stock market data
AU - Wu, Jianfei
AU - Denton, Anne
AU - Elariss, Omar
AU - Xu, Dianxiang
PY - 2009
Y1 - 2009
N2 - We introduce an algorithm that uses stock sector information directly in conjunction with time series subsequences for mining core patterns within the sectors of stock market data. The core patterns within a sector are representative groups of stocks for the sector when it shows coherent behavior. Multiple core patterns may exist in a sector at the same time. In comparison with clustering algorithms, the core patterns are shown to be more stable as the stock price evolves. The proposed algorithm has only one free parameter, for which we provide an empirical choice. We demonstrate the effectiveness of the algorithm through a comparison with the DBScan clustering algorithm using data from the Standard and Poor 500 Index.
AB - We introduce an algorithm that uses stock sector information directly in conjunction with time series subsequences for mining core patterns within the sectors of stock market data. The core patterns within a sector are representative groups of stocks for the sector when it shows coherent behavior. Multiple core patterns may exist in a sector at the same time. In comparison with clustering algorithms, the core patterns are shown to be more stable as the stock price evolves. The proposed algorithm has only one free parameter, for which we provide an empirical choice. We demonstrate the effectiveness of the algorithm through a comparison with the DBScan clustering algorithm using data from the Standard and Poor 500 Index.
UR - http://www.scopus.com/inward/record.url?scp=77951155720&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=77951155720&partnerID=8YFLogxK
U2 - 10.1109/ICDMW.2009.115
DO - 10.1109/ICDMW.2009.115
M3 - Conference contribution
AN - SCOPUS:77951155720
SN - 9780769539027
T3 - ICDM Workshops 2009 - IEEE International Conference on Data Mining
SP - 558
EP - 563
BT - ICDM Workshops 2009 - IEEE International Conference on Data Mining
T2 - 2009 IEEE International Conference on Data Mining Workshops, ICDMW 2009
Y2 - 6 December 2009 through 6 December 2009
ER -