The Motif Tracking Algorithm

Abstract

The search for patterns or motifs in data represents a problem area of key interest to finance and economic researchers. In this paper, we introduce the motif tracking algorithm (MTA), a novel immune inspired (IS) pattern identification tool that is able to identify unknown motifs of a non specified length which repeat within time series data. The power of the algorithm comes from the fact that it uses a small number of parameters with minimal assumptions regarding the data being examined or the underlying motifs. Our interest lies in applying the algorithm to financial time series data to identify unknown patterns that exist. The algorithm is tested using three separate data sets. Particula..