A New Representation and Distance Measure for Financial Time Series

摘要：

Similarity metric is of fundamental importance for similarity matching and subsequence query in time series applications.Most existing approaches measure the similarity by calculating and aggregating the point-to-point distance,few of them lake the segment trend duration into account.In this paper,upon analyzing the properties of financial time series,we define a time series notation which is more intuitive and expressive.Base on that,a new similarity model is proposed.Experiments on both real foreign currency exchange rate data and stock market data are performed.The result shows the effectiveness and good accuracy of our method.

关键词： similarity time series financial piecewise linear representation segment duration radian distance

作者: Yongwei Ding Xiaohu Yang Juefeng Li Alexsander J.Kavs

作者单位: College of Computer Science and Technology Zhejiang University Hangzhou,P.R.China State Street Technology (Zhejiang) Hangzhou,P.R.China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 220-224

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）