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Authors: P. Kroha and K. Kröber

Affiliation: University of Technology Chemnitz, Germany

Keyword(s): Classification, Market time series, Fractal analysis, Fuzzy technology, Stocks, Market behavior.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Decision Support Systems ; Enterprise Software Technologies ; Knowledge Acquisition ; Knowledge Engineering and Ontology Development ; Knowledge-Based Systems ; Software Engineering ; Symbolic Systems

Abstract: In this paper, we propose an improvement of a method for market time series’ classification based on fuzzy and fractal technology. Usually, the older values of time series will be cut off at a specific time point. We investigated the influence of the fractal features on the classification result. We compared a normal time series representation, a representation having a smaller box dimension (achieved by exponential smoothing), and a representation having a greater box dimension (achieved by addind scaled noise). We used different types of noises and scales to improve the classification result. Our application concerns time series of stock prices. The market performance of those approaches is analyzed, discussed, and compared with the system without the scaled noise component.

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Paper citation in several formats:
Kroha, P. and Kröber, K. (2011). THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE. In Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT; ISBN 978-989-8425-77-5; ISSN 2184-2833, SciTePress, pages 334-340. DOI: 10.5220/0003442903340340

@conference{icsoft11,
author={P. Kroha. and K. Kröber.},
title={THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE},
booktitle={Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT},
year={2011},
pages={334-340},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003442903340340},
isbn={978-989-8425-77-5},
issn={2184-2833},
}

TY - CONF

JO - Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT
TI - THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE
SN - 978-989-8425-77-5
IS - 2184-2833
AU - Kroha, P.
AU - Kröber, K.
PY - 2011
SP - 334
EP - 340
DO - 10.5220/0003442903340340
PB - SciTePress