Please use this identifier to cite or link to this item:
Title: Charting patterns on price history
Authors: Anand, S.
Chin, W.-N. 
Khoo, S.-C. 
Issue Date: 2001
Citation: Anand, S.,Chin, W.-N.,Khoo, S.-C. (2001). Charting patterns on price history. Proceedings of the ACM SIGPLAN International Conference on Functional Programming, ICFP : 134-145. ScholarBank@NUS Repository.
Abstract: It is an established notion among financial analysts that price moves in patterns and these patterns can be used to forecast future price. As the definitions of these patterns are often subjective, every analyst has a need to define and search meaningful patterns from historical time series quickly and efficiently. However, such discovery process can be extremely laborious and technically challenging in the absence of a high level pattern definition language. In this paper, we propose a chart-pattern language (CPL for short) to facilitate pattern discovery process. Our language enables financial analysts to (1) define patterns with subjective criteria, through introduction of fuzzy constraints, and (2) incrementally compose complex patterns from simpler patterns. We demonstrate through an array of examples how real life patterns can be expressed in CPL. In short, CPL provides a high-level platform upon which analysts can define and search patterns easily and without any programming expertise. CPL is a domain-specific language embedded in Haskell. We show how various features of a functional language, such as pattern matching, higher-order functions, lazy evaluation, facilitate pattern definitions and implementation. Furthermore, Haskell's type system frees the programmers from annotating the programs with types.
Source Title: Proceedings of the ACM SIGPLAN International Conference on Functional Programming, ICFP
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

checked on Jul 9, 2021

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.