Clustering of time series using a similarity between segments and bands determined by patterns of technical analysis
Rosa Basagoiti, Eusebio Juaristi · WIT transactions on information and communication technologies · 2006
The representation based on segments, continuous or discontinuous, has been used for dimensionality reduction of temporal data.This reduction is essential for the posterior process of data mining.In this work, patterns of technical analysis, like those defined in Lo et al. (2002), are used to extract the extremes to get two different representations.The first one is based on segments drawn between extremes of the patterns, STA.The second one is based on the best harmonic of the Fourier decomposition between the same extremes, FTA.Due to the subjective nature of technical analysis some parameters are considered in the process of extreme extraction and pattern selection.Once a representation is adopted, similarities between segments defined in Keogh et al. (2002) and between bands suggested by us are used for clustering and the results compared with those obtained with the Euclidean and the lower bound of the dynamic time warping distance defined in Keogh.