Title :
An Algorithm for Mining Association Patterns between Two Time Series and Application in Finance
Author :
Wen, Fenghua ; Lan, Qiujun ; Ma, ChaoQun ; Yang, Xiaoguang
Author_Institution :
Acad. of Math. & Syst. Sci., Beijing
Abstract :
If there are some frequent association patterns between two different time series, it may be a result from a common mechanism or there is causality between two series. The influence by the common mechanism is stronger, the probability of two patterns more close to each other. From this viewpoint, this paper puts forward a new algorithm for mining association patterns between two different series. Its complexity and extensibility is fine. A simulation experiment shows that it´s valid. To demonstrate its wide application, we give an example in finance
Keywords :
data mining; finance; probability; time series; association patterns mining; data mining; finance; frequent association patterns; patterns probability; time series; Automation; Chaos; Data mining; Educational institutions; Finance; Forward contracts; Intelligent control; Mathematics; Association Pattern; Data Mining; Time Series;
Conference_Titel :
Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on
Conference_Location :
Dalian
Print_ISBN :
1-4244-0332-4
DOI :
10.1109/WCICA.2006.1714218
