An Improved K-Line Fractal Dimension and Its Application on Stock Time Series Segmentation

摘要：

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.

关键词： K-line positive line fractal dimension negative line dimension segmentation

作者: Liping Ni Zhiwei Ni Yazhuo Gao

作者单位: School of Management,Hefei University of Technology Laboratory of Process Optimization and Intelligent Decision-making,Ministry of Education Hefei,230009,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 328-331

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）