The Motif Tracking Algorithm

TL;DR

The paper introduces the Motif Tracking Algorithm, an immune-inspired method for identifying unknown repeating patterns in time series data, especially useful for financial datasets, with potential applications in forecasting.

Contribution

It presents a novel, parameter-efficient algorithm capable of detecting unknown motifs of arbitrary length in time series data, inspired by immune system principles.

Findings

Successfully applied to financial data, including oil prices.

Identifies motifs quickly and efficiently using symbolic representation.

Potential for use in forecasting and algorithm seeding.

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, a novel immune inspired 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. Particular suitability to financial data is shown by applying it to oil price data. In all cases the algorithm identifies the presence of a motif population in a fast and efficient manner due to the utilisation of an intuitive symbolic representation. The resulting population of motifs is shown to have considerable potential value for other applications such as forecasting and algorithm seeding.