scholarly journals A Novel Time-Sensitive Composite Similarity Model for Multivariate Time-Series Correlation Analysis

Entropy ◽  
2021 ◽  
Vol 23 (6) ◽  
pp. 731
Author(s):  
Mengxia Liang ◽  
Xiaolong Wang ◽  
Shaocong Wu
Keyword(s):  
Time Series ◽  
Correlation Analysis ◽  
Stock Price ◽  
Multivariate Time Series ◽  
Temporal Features ◽  
Proposed Model ◽  
Time Series Segmentation ◽  
Similarity Model ◽  
Dynamic Time ◽  
Investment Portfolios

Finding the correlation between stocks is an effective method for screening and adjusting investment portfolios for investors. One single temporal feature or static nontemporal features are generally used in most studies to measure the similarity between stocks. However, these features are not sufficient to explore phenomena such as price fluctuations similar in shape but unequal in length which may be caused by multiple temporal features. To research stock price volatilities entirely, mining the correlation between stocks should be considered from the point view of multiple features described as time series, including closing price, etc. In this paper, a time-sensitive composite similarity model designed for multivariate time-series correlation analysis based on dynamic time warping is proposed. First, a stock is chosen as the benchmark, and the multivariate time series are segmented by the peaks and troughs time-series segmentation (PTS) algorithm. Second, similar stocks are screened out by similarity. Finally, the rate of rising or falling together between stock pairs is used to verify the proposed model’s effectiveness. Compared with other models, the composite similarity model brings in multiple temporal features and is generalizable for numerical multivariate time series in different fields. The results show that the proposed model is very promising.

Representation learning for unsupervised heterogeneous multivariate time series segmentation and its application

2019 ◽  
Vol 130 ◽  
pp. 272-281 ◽  
Author(s):  
Hyunjoong Kim ◽  
Han Kyul Kim ◽  
Misuk Kim ◽  
Jooseoung Park ◽  
Sungzoon Cho ◽  
...  
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Representation Learning ◽  
Time Series Segmentation

Time-changed generalized mixed fractional Brownian motion and application to arithmetic average Asian option pricing

2017 ◽  
Vol 6 (3) ◽  
pp. 85
Author(s):  
ömer önalan
Keyword(s):  
Time Series ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Long Range Dependence ◽  
Price Process ◽  
Inverse Gamma ◽  
Proposed Model ◽  
Mixed Fractional Brownian Motion ◽  
Time Periods

In this paper we present a novel model to analyze the behavior of random asset price process under the assumption that the stock price pro-cess is governed by time-changed generalized mixed fractional Brownian motion with an inverse gamma subordinator. This model is con-structed by introducing random time changes into generalized mixed fractional Brownian motion process. In practice it has been observed that many different time series have long-range dependence property and constant time periods. Fractional Brownian motion provides a very general model for long-term dependent and anomalous diffusion regimes. Motivated by this facts in this paper we investigated the long-range dependence structure and trapping events (periods of prices stay motionless) of CSCO stock price return series. The constant time periods phenomena are modeled using an inverse gamma process as a subordinator. Proposed model include the jump behavior of price process because the gamma process is a pure jump Levy process and hence the subordinated process also has jumps so our model can be capture the random variations in volatility. To show the effectiveness of proposed model, we applied the model to calculate the price of an average arithmetic Asian call option that is written on Cisco stock. In this empirical study first the statistical properties of real financial time series is investigated and then the estimated model parameters from an observed data. The results of empirical study which is performed based on the real data indicated that the results of our model are more accuracy than the results based on traditional models.

scholarly journals Data Fusion Using Improved Support Degree Function in Aquaculture Wireless Sensor Networks

Sensors ◽  
2018 ◽  
Vol 18 (11) ◽  
pp. 3851 ◽  
Author(s):  
Pei Shi ◽  
Guanghui Li ◽  
Yongming Yuan ◽  
Liang Kuang
Keyword(s):  
Time Series ◽  
Wireless Sensor Networks ◽  
Sensor Networks ◽  
Data Fusion ◽  
Dynamic Time Warping ◽  
Wireless Sensor ◽  
Time Warping ◽  
Segmentation Strategy ◽  
Time Series Segmentation ◽  
Dynamic Time

For monitoring the aquaculture parameters in pond with wireless sensor networks (WSN), high accuracy of fault detection and high precision of error correction are essential. However, collecting accurate data from WSN to server or cloud is a bottleneck because of the data faults of WSN, especially in aquaculture applications, limits their further development. When the data fault occurs, data fusion mechanism can help to obtain corrected data to replace abnormal one. In this paper, we propose a data fusion method using a novel function that is Dynamic Time Warping time series strategy improved support degree (DTWS-ISD) for enhancing data quality, which employs a Dynamic Time Warping (DTW) time series segmentation strategy to the improved support degree (ISD) function. We use the DTW distance to replace Euclidean distance, which can explore the continuity and fuzziness of data streams, and the time series segmentation strategy is adopted to reduce the computation dimension of DTW algorithm. Unlike Gauss support function, ISD function obtains mutual support degree of sensors without the exponent calculation. Several experiments were finished to evaluate the accuracy and efficiency of DTWS-ISD with different performance metrics. The experimental results demonstrated that DTWS-ISD achieved better fusion precision than three existing functions in a real-world WSN water quality monitoring application.

scholarly journals Soft Computation Vector Autoregressive Neural Network (VAR-NN) GUI-Based

2018 ◽  
Vol 73 ◽  
pp. 13008 ◽  
Author(s):  
Hasbi Yasin ◽  
Budi Warsito ◽  
Rukun Santoso ◽  
Suparti
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Autoregressive Model ◽  
Stock Price ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Vector Autoregressive ◽  
Price Data

Vector autoregressive model proposed for multivariate time series data. Neural Network, including Feed Forward Neural Network (FFNN), is the powerful tool for the nonlinear model. In autoregressive model, the input layer is the past values of the same series up to certain lag and the output layers is the current value. So, VAR-NN is proposed to predict the multivariate time series data using nonlinear approach. The optimal lag time in VAR are used as aid of selecting the input in VAR-NN. In this study we develop the soft computation tools of VAR-NN based on Graphical User Interface. In each number of neurons in hidden layer, the looping process is performed several times in order to get the best result. The best one is chosen by the least of Mean Absolute Percentage Error (MAPE) criteria. In this study, the model is applied in the two series of stock price data from Indonesia Stock Exchange. Evaluation of VAR-NN performance was based on train-validation and test-validation sample approach. Based on the empirical stock price data it can be concluded that VAR-NN yields perfect performance both in in-sample and in out-sample for non-linear function approximation. This is indicated by the MAPE value that is less than 1% .

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