Paper Info
Title
Aggregated information representation for technical analysis on stock market with csiszár divergence
Abstract
The paper presents a new method for multidimensional representation of financial information in the context of technical analysis. Typically, technical analysis of given financial instrument does not take into account a broader view on the market. We want to analyze the information about the environment of the primary instrument. Hence, there is the problem of the results synthesis in a coherent and a transparent way. In this paper we propose aggregation of the information from different sources into a single aggregate graph which enables a technical analysis. The complete information is obtained with the p-norms approach. To assess the impact of particular information on the primary instrument we applied divergence measures such as Csiszár divergence and Beta divergence. Practical experiment on the stock exchange data confirmed the validity of proposed approach.
Year
DOI
Venue
2010
10.1007/978-3-642-13541-5_28
KES-AMSTA (2)
Keywords
Field
DocType
beta divergence,technical analysis,complete information,financial instrument,particular information,financial information,aggregated information representation,primary instrument,broader view,stock market,p-norms approach,stock exchange,data transformation
Econometrics,Data mining,Divergence,Financial information,Computer science,Stock exchange,Financial instrument,Stock market,Complete information,Technical analysis,Information representation
Conference
Volume
ISSN
ISBN
6071
0302-9743
3-642-13540-4
Citations 
PageRank 
References 
0
0.34
4
Authors
3
Name
Order
Citations
PageRank
Ryszard Szupiluk1388.97
Piotr Wojewnik2206.32
Tomasz Zabkowski33211.28