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2022-03-06
摘要翻译:
在数据中寻找模式或母题是金融和经济研究人员主要感兴趣的问题领域。本文介绍了一种新的免疫模式识别工具--模体跟踪算法,它能够识别时间序列数据中重复的、长度不确定的未知模体。该算法的力量来自于这样一个事实,即它使用了少量的参数,并对被检查的数据或潜在的母题进行了最小的假设。我们的兴趣在于将该算法应用于金融时间序列数据,以识别存在的未知模式。使用三个独立的数据集对该算法进行了测试。将其应用于石油价格数据,表明了其对金融数据的特殊适用性。在所有情况下,由于使用直观的符号表示,该算法以快速和有效的方式识别母题群体的存在。结果表明,所得到的模体群体对于预测和算法播种等其他应用具有相当大的潜在价值。
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英文标题:
《The Motif Tracking Algorithm》
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作者:
William Wilson, Philip Birkin, Uwe Aickelin
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最新提交年份:
2010
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分类信息:

一级分类:Computer Science        计算机科学
二级分类:Artificial Intelligence        人工智能
分类描述:Covers all areas of AI except Vision, Robotics, Machine Learning, Multiagent Systems, and Computation and Language (Natural Language Processing), which have separate subject areas. In particular, includes Expert Systems, Theorem Proving (although this may overlap with Logic in Computer Science), Knowledge Representation, Planning, and Uncertainty in AI. Roughly includes material in ACM Subject Classes I.2.0, I.2.1, I.2.3, I.2.4, I.2.8, and I.2.11.
涵盖了人工智能的所有领域,除了视觉、机器人、机器学习、多智能体系统以及计算和语言(自然语言处理),这些领域有独立的学科领域。特别地,包括专家系统,定理证明(尽管这可能与计算机科学中的逻辑重叠),知识表示,规划,和人工智能中的不确定性。大致包括ACM学科类I.2.0、I.2.1、I.2.3、I.2.4、I.2.8和I.2.11中的材料。
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一级分类:Computer Science        计算机科学
二级分类:Computational Engineering, Finance, and Science        计算工程、金融和科学
分类描述:Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的,集中在技术和工具,使挑战性的计算模拟能够执行,其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4(经济学)中的材料。
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一级分类:Computer Science        计算机科学
二级分类:Neural and Evolutionary Computing        神经与进化计算
分类描述:Covers neural networks, connectionism, genetic algorithms, artificial life, adaptive behavior. Roughly includes some material in ACM Subject Class C.1.3, I.2.6, I.5.
涵盖神经网络,连接主义,遗传算法,人工生命,自适应行为。大致包括ACM学科类C.1.3、I.2.6、I.5中的一些材料。
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英文摘要:
  The search for patterns or motifs in data represents a problem area of key interest to finance and economic researchers. In this paper we introduce the Motif Tracking Algorithm, a novel immune inspired pattern identification tool that is able to identify unknown motifs of a non specified length which repeat within time series data. The power of the algorithm comes from the fact that it uses a small number of parameters with minimal assumptions regarding the data being examined or the underlying motifs. Our interest lies in applying the algorithm to financial time series data to identify unknown patterns that exist. The algorithm is tested using three separate data sets. Particular suitability to financial data is shown by applying it to oil price data. In all cases the algorithm identifies the presence of a motif population in a fast and efficient manner due to the utilisation of an intuitive symbolic representation. The resulting population of motifs is shown to have considerable potential value for other applications such as forecasting and algorithm seeding.
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PDF链接:
https://arxiv.org/pdf/1006.1526
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