Modeling symbolic candle chart time series(Competition 2)

概要

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This study introduces a new type of symbolic data namely a candle chart valued time series, and presents a new approaches of candle chart valued time series for forecasting of stock index direction (i.e. up and down) based on future candle chart form. From the approaches for interval valued time series, we propose forecasting methods for the candle chart valued time series based on a combination of two mid-point and two half range between the highest index and the lowest index, and between open index and close index. Also we propose new sum of squares for candle chart valued time series. To evaluate proposed methods, we describe forecasting result of real data set consisting of Asian major 5 countries' stock market indexes. The forecasting results show that the new approaches and sum of square which are based on approach of interval valued time series outperform than others in forecasting candle chart.
2011-11-11