Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis
In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and test our trading rules, which are built by the essential concepts of technical analysis. Next, we compare the quality of linear principal component analysis and nonlinear principal component analysis in financial market visualisation. We compare different methods of data preprocessing for visualisation purposes. Using visualisation, we demonstrate the difference between normal and crisis time period. Thus, the visualisation of financial market can be a tool to support technical analysis.
Year of publication: |
2014-10
|
---|---|
Authors: | Chen, Hao-Che |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
New measure of multifractality and its application in finances
Grech, Dariusz, (2013)
-
Point process bridges and weak convergence of insider trading models
Umut \c{C}etin, (2012)
-
Modelling emergence of money from the barter trade: multiscaling edge effects
Stanis{\l}aw Dro\.zd\.z, (2013)
- More ...