Mining exceptional activity patterns in microstructure data

Proceedings - 2008 IEEE/WIC/ACM International Conference on Web Intelligence, WI 2008

Volumn , Issue , 2008, Pages 884-887

  Ou, Yuming ^a   Cao, Longbing ^a   Luo, Chao ^a   Liu, Li ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

DYNAMICS; IMAGE RETRIEVAL; MICROSTRUCTURE;

ACTIVITY PATTERN ANALYSIS; ACTIVITY PATTERNS; MARKET DYNAMICS; MARKET SURVEILLANCES; MULTIPLE MARKETS; SMART SURVEILLANCES; STOCK DATUM; TRADING PATTERNS;

MARKETING;

EID: 62949236563     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WIIAT.2008.160     Document Type: Conference Paper

References (8)

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3. Cao, L. and Ou, Y., "Market Microstructure Patterns Powering Trading and Surveillance Agents", Journal of Universal Computer Sciences, 2008 (to appear).
4. Madhavan, A., "Market microstructure: A survey", Journal of Financial Markets, 2000, vol. 3, pp. 205-258
5. Harris, L., Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press, 2003.
6. http://en.wikipedia.org/wiki/Market-microstructure
7. Cao, L., Zhao and Y., Zhang, C. and Zhang, H., "Activity Mining: from Activities to Actions", International Journal of Information Technology & Decision Making, 2008, 7(2), pp. 259-273
8. Cao, L., Zhao, Y. and Zhang, C., "Mining Impact-Targeted Activity Patterns in Imbalanced Data", IEEE Trans. on Knowledge and Data Engineering, 2008 (to appear)