DocumentCode
2853378
Title
An Improved K-Line Fractal Dimension and Its Application on Stock Time Series Segmentation
Author
Ni, Liping ; Ni, Zhiwei ; Gao, Yazhuo
Author_Institution
Key Lab. of Process Optimization & Intell. Decision-making, Hefei Univ. of Technol., Hefei, China
fYear
2010
fDate
13-15 Aug. 2010
Firstpage
328
Lastpage
331
Abstract
Fractal dimension can be used to analyze stock time series. This paper proposes a new K-line fractal dimension which is calculated from the positive or negative line separately. Accordingly, we call it positive line fractal dimension or negative line fractal dimension. Then negative line fractal dimension is used to segment time series. Experiment results show this new K-line fractal dimension can reflect the uptrend or downtrend of stock market better than traditional K-line fractal dimension.
Keywords
fractals; stock markets; time series; improved k-line fractal dimension; stock market; stock time series segmentation; Equations; Estimation; Fractals; Indexes; Mathematical model; Stock markets; Time series analysis; K-line; negative line dimension; positive line fractal dimension; segmentation;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-7575-9
Type
conf
DOI
10.1109/BIFE.2010.83
Filename
5621832
Link To Document