Feature extraction for chart pattern classification in financial time series

摘要

Extracting shape-related features from a given query subsequence is a crucial preprocessing step for chart pattern matching in rule-based, template-based and hybrid pattern classification methods. The extracted features can significantly influence the accuracy of pattern recognition tasks during the data mining process. Although shape-related features are widely used for chart pattern matching in financial time series, the intrinsic properties of these features and their relationships to the patterns are rarely investigated in research community. This paper aims to formally identify shape-related features used in chart patterns and investigates their impact on chart pattern classifications in financial time series. In this paper, we describe a comprehensive analysis of 14 shape-related features which can be used to classify 41 known chart patterns in technical analysis domain. In order to evaluate their effectiveness, shape-related features are then translated into rules for chart pattern classification. We perform extensive experiments on real datasets containing historical price data of 24 stocks/indices to analyze the effectiveness of the rules. Experimental results reveal that the features put forward in this paper can be effectively used for recognizing chart patterns in financial time series. Our analysis also reveals that high-level features can be hierarchically composed from low-level features. Hierarchical composition allows construction of complex chart patterns from features identified in this paper. We hope that the features identified in this paper can be used as a reference model for the future research in chart pattern analysis.