金融时间序列K线形态的Motif模式挖掘研究

Study on Motif Pattern of K-line Morphology in Financial Time Series

金融时间序列中存在的K线形态一直以来都是不同领域众多学者研究的热点问题。本文基于基序理论的思想对提取序列中的K线形态进行研究,得到特征序列。并结合短期趋势聚类的方法检测出K线形态的Motif模式,最后通过对上证A股收盘价数据进行实证分析,结果表明这种对应的Motif模式对用来建立股价反转预警制度是可行及有效的。

The K-line Morphology has always been a hot issue for many scholars in different fields in the financial time series.In this paper,we study the K-line Morphology in the extraction sequence based on the idea of the motif theory to obtain the feature sequence,and combining with the short-term trend clustering method to detect the K-line Morphology motif pattern.Finally,through the empirical analysis of the A-share closing price of the SSE,the results show that the corresponding motif pattern is feasible and effective,which establish the stock price reversal early warning system.