Establishing relationships among patterns in stock market data

摘要

Similarities among subsequences are typically regarded as categorical features of sequential data. We introduce an algorithm for capturing the relationships among similar, contiguous subsequences. Two time series are considered to be similar during a time interval if every contiguous subsequence of a predefined length satisfies the given similarity criterion. Our algorithm identifies patterns based on the similarity among sequences, captures the sequence–subsequence relationships among patterns in the form of a directed acyclic graph (DAG), and determines pattern conglomerates that allow the application of additional meta-analyses and mining algorithms. For example, our pattern conglomerates can be used to analyze time information that is lost in categorical representations. We apply our algorithm to stock market data as well as several other time series data sets and show the richness of our pattern conglomerates through qualitative and quantitative evaluations. An exemplary meta-analysis determines timing patterns representing relations between time series intervals and demonstrates the merit of pattern relationships as an extension of time series pattern mining.