Clustering the World Currency Exchange Rates Using Hierarchical Methods Based on Dynamic Time Warping

2021 ◽  
pp. 2250001
Author(s):  
Jonatha Sousa Pimentel ◽  
Paulo Canas Rodrigues

The analysis of currency exchange rates is of great importance to analyze the economic health of a country. In this paper, we collect and analyze the historical data on exchange rates of all available currencies, considering the US dollar as reference. In particular, we are interested in clustering the collected daily time series by using a similarity measure based on dynamic time warping. In total, the observations of 150 currencies, between January 3, 2005 and April 30, 2020, are analyzed. The results show that the use of dynamic time warping as a distance measure results in the improvement of the interpretability of the dendrograms, when compared with standard similarity measures such as the Euclidean distance.

2021 ◽  
Author(s):  
Lucas Cassiel Jacaruso

Abstract Time series similarity measures are highly relevant in a wide range of emerging applications including training machine learning models, classification, and predictive modeling. Standard similarity measures for time series most often involve point-to-point distance measures including Euclidean distance and Dynamic Time Warping. Such similarity measures fundamentally require the fluctuation of values in the time series being compared to follow a corresponding order or cadence for similarity to be established. Other existing approaches use local statistical tests to detect structural changes in time series. This paper is spurred by the exploration of a broader definition of similarity, namely one that takes into account the sheer numerical resemblance between sets of statistical properties for time series segments irrespectively of value labeling. Further, the presence of common pattern components between time series segments was examined even if they occur in a permuted order, which would not necessarily satisfy the criteria of more conventional point-to-point distance measures. The newly defined similarity measures were tested on time series data representing over 20 years of cooperation intent expressed in global media sentiment. Tests determined whether the newly defined similarity measures would accurately identify stronger resemblance, on average, for pairings of similar time series segments (exhibiting overall decline) than pairings of differing segments (exhibiting overall decline and overall rise). The ability to identify patterns other than the obvious overall rise or decline that can accurately relate samples is regarded as a first step towards assessing the value of the newly explored similarity measures for classification or prediction. Results were compared with those of Dynamic Time Warping on the same data for context. Surprisingly, the test for numerical resemblance between sets of statistical properties established stronger resemblance for pairings of decline years with greater statistical significance than Dynamic Time Warping on the particular data and sample size used.


2019 ◽  
Vol 73 (11) ◽  
Author(s):  
Ian R. Cleasby ◽  
Ewan D. Wakefield ◽  
Barbara J. Morrissey ◽  
Thomas W. Bodey ◽  
Steven C. Votier ◽  
...  

Abstract Identifying and understanding patterns in movement data are amongst the principal aims of movement ecology. By quantifying the similarity of movement trajectories, inferences can be made about diverse processes, ranging from individual specialisation to the ontogeny of foraging strategies. Movement analysis is not unique to ecology however, and methods for estimating the similarity of movement trajectories have been developed in other fields but are currently under-utilised by ecologists. Here, we introduce five commonly used measures of trajectory similarity: dynamic time warping (DTW), longest common subsequence (LCSS), edit distance for real sequences (EDR), Fréchet distance and nearest neighbour distance (NND), of which only NND is routinely used by ecologists. We investigate the performance of each of these measures by simulating movement trajectories using an Ornstein-Uhlenbeck (OU) model in which we varied the following parameters: (1) the point of attraction, (2) the strength of attraction to this point and (3) the noise or volatility added to the movement process in order to determine which measures were most responsive to such changes. In addition, we demonstrate how these measures can be applied using movement trajectories of breeding northern gannets (Morus bassanus) by performing trajectory clustering on a large ecological dataset. Simulations showed that DTW and Fréchet distance were most responsive to changes in movement parameters and were able to distinguish between all the different parameter combinations we trialled. In contrast, NND was the least sensitive measure trialled. When applied to our gannet dataset, the five similarity measures were highly correlated despite differences in their underlying calculation. Clustering of trajectories within and across individuals allowed us to easily visualise and compare patterns of space use over time across a large dataset. Trajectory clusters reflected the bearing on which birds departed the colony and highlighted the use of well-known bathymetric features. As both the volume of movement data and the need to quantify similarity amongst animal trajectories grow, the measures described here and the bridge they provide to other fields of research will become increasingly useful in ecology. Significance statement As the use of tracking technology increases, there is a need to develop analytical techniques to process such large volumes of data. One area in which this would be useful is the comparison of individual movement trajectories. In response, a variety of measures of trajectory similarity have been developed within the information sciences. However, such measures are rarely used by ecologists who may be unaware of them. To remedy this, we apply five common measures of trajectory similarity to both simulated data and real ecological dataset comprising of movement trajectories of breeding northern gannets. Dynamic time warping and Fréchet distance performed best on simulated data. Using trajectory similarity measures on our gannet dataset, we identified distinct foraging clusters centred on different bathymetric features, demonstrating one application of such similarity measures. As new technology and analysis techniques proliferate across ecology and the information sciences, closer ties between these fields promise further innovative analysis of movement data.


Author(s):  
Sebastian Feld ◽  
Christoph Roch ◽  
Thomas Gabor ◽  
Xiao-Ting Michelle To ◽  
Claudia Linnhoff-Popien

2011 ◽  
Author(s):  
Albert Rilliard ◽  
Alexandre Allauzen ◽  
Philippe Boula de Mareüil

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