Generating Comparative Explanations of Financial Time Series
Published in Lecture Notes in Computer Science, 2022
Recommended citation: Fior, J., Cagliero, L., Calò, T. (2022). Generating Comparative Explanations of Financial Time Series. In: Chiusano, S., Cerquitelli, T., Wrembel, R. (eds) Advances in Databases and Information Systems. ADBIS 2022. Lecture Notes in Computer Science, vol 13389. Springer, Cham. https://doi.org/10.1007/978-3-031-15740-0_10 https://link.springer.com/chapter/10.1007/978-3-031-15740-0_10
This paper proposes a method to automatically generate summarized explanations of financial stock series based on the most established fundamental indicators. Unlike any previous summary protoform, the newly proposed time series explanations (i) are suited to comparative analyses, i.e., they express a relative strength of the summary claim about a given stock compared to a reference stock cluster, and (ii) are based on a time series embedding representation indicating the level of similarity between different stocks/stock groups in various periods. The preliminary results demonstrate the usefulness and applicability of the proposed approach.
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