Title page for etd-0729108-142759


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URN etd-0729108-142759
Author Ching-An Liu
Author's Email Address No Public.
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Department Applied Mathematics
Year 2007
Semester 2
Degree Master
Type of Document
Language English
Title Pattern Matching for Financial Time Series Data
Date of Defense 2008-06-25
Page Count 38
Keyword
  • Bollinger Band Percent
  • pattern matching
  • high frequency transaction data
  • longest common subsequence
  • power spectrum
  • Pearson chi-squared test
  • stock price movement.
  • Abstract In security markets, the stock price movements are closely linked to the market information. For example, the subprime mortgage triggered a global financial crisis in 2007. Drops occurred in virtually every stock market in the world. After the Federal Reserve took several steps to address the crisis, the stock markets have been gradually stable. Reaction of the traders to the arrival information results in different patterns of the stock price movements. Thus pattern matching is an important subject in future movement prediction, rule discovery and computer aided diagnosis. In this research, we propose a pattern matching procedure to seize the similar stock price movements of two listed companies during one day. First, the algorithm of searching the longest common subsequence is introduced to sieve out the time intervals where the two listed companies have the same integrated volatility levels and price rise/drop trends. Next we transform the raw price data in the found matching time periods to the Bollinger Band Percent data, then use the power spectrum to extract low frequency components. Adjusted Pearson chi-squared tests are performed to analyze the similarity of the price movement patterns in these periods. We perform the study by simulation investigation first, then apply the procedure to empirical analysis of high frequency transaction data of NYSE.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0729108-142759.pdf
  • indicate not accessible
    Date of Submission 2008-07-29

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