Representing financial time series based on data point importance

Recently, the increasing use of time series data has initiated various research and development attempts in the field of data and knowledge management. Time series data is characterized as large in data size, high dimensionality and update continuously. Moreover, the time series data is always considered as a whole instead of individual numerical fields. Indeed, a large set of time series data is from stock market. Stock time series has its own characteristics over other time series. Moreover, dimensionality reduction is an essential step before many time series analysis and mining tasks. For these reasons, research is prompted to augment existing technologies and build new representation to manage financial time series data. In this paper, financial time series is represented according to the importance of the data points. With the concept of data point importance, a tree data structure, which supports incremental updating, is proposed to represent the time series and an access method for retrieving the time series data point from the tree, which is according to their order of importance, is introduced. This technique is capable to present the time series in different levels of detail and facilitate multi-resolution dimensionality reduction of the time series data. In this paper, different data point importance evaluation methods, a new updating method and two dimensionality reduction approaches are proposed and evaluated by a series of experiments. Finally, the application of the proposed representation on mobile environment is demonstrated.     

A spatial contagion measure for financial time series

A novel spatial contagion measure is proposed that is based on the calculation of suitable conditional Spearman’s correlations extracted from the financial time series of interest. Algorithms for the numerical estimation of this measure are illustrated, together with a simulation study showing its features in relations with popular families of copulas. Finally, two applications are presented about the use of spatial contagion measure for determining (asymmetric) linkages in the financial systems, and creating clusters of financial time series. In particular, contrarily to previous approaches in the literature, such clusters identify which time series increase their (positive) association when the market is under distress. The presented methodology is also expected to be useful to select a diversified portfolio of asset returns.     

Vegetation dynamics from NDVI time series analysis using the wavelet transform

A multi-resolution analysis (MRA) based on the wavelet transform (WT) has been implemented to study NDVI time series. These series, which are non-stationary and present short-term, seasonal and long-term variations, can be decomposed using this MRA as a sum of series associated with different temporal scales. The main focus of the paper is to check the potential of this MRA to capture and describe both intra- and inter-annual changes in the data, i.e., to discuss the ability of the proposed procedure to monitor vegetation dynamics at regional scale. Our approach concentrates on what wavelet analysis can tell us about a NDVI time series. On the one hand, the intra-annual series, linked to the seasonality, has been used to estimate different key features related to the vegetation phenology, which depend on the vegetation cover type. On the other hand, the inter-annual series has been used to identify the trend, which is related to land-cover changes, and a Mann-Kendall test has been applied to confirm the significance of the observed trends. NDVI images from the MEDOKADS (Mediterranean Extended Daily One-km AVHRR Data Set) imagery series over Spain are processed according to a per-pixel strategy for this study. Results show that the wavelet analysis provides relevant information about vegetation dynamics at regional scale, such as the mean and minimum NDVI value, the amplitude of the phenological cycle, the timing of the maximum NDVI and the magnitude of the land-cover change. The latter, in combination with precipitation data, has been used to interpret the observed land-cover changes and identify those subtle changes associated to land degradation.     

经验模式分解与时间序列分析在网络流量预测中的应用

提出一种经验模式分解和时间序列分析的网络流量预测方法. 首先,对网络流量时间序列进行经验模式分解,产生高低频分量和余量;然后,对各分量进行时间序列分析,确保高频分量采用改进和声搜索算法优化的最小二乘支持向量机模型、低频分量和余量采用差分自回归滑动平均模型进行建模和预测;最后,将预测结果通过RBF神经网络进行非线性叠加,得到最终的预测值.仿真实验表明,所提出方法具有更好的预测效果和更高的预测精度.     

OBST-based segmentation approach to financial time series

Financial time series data are large in size and dynamic and non-linear in nature. Segmentation is often performed as a pre-processing step for locating technical patterns in financial time series. In this paper, we propose a segmentation method based on Turning Points (TPs). The proposed method selects TPs from the financial time series in question based on their degree of importance. A TP's degree of importance is calculated on the basis of its contribution to the preservation of the trends and shape of the time series. Algorithms are also devised to store the selected TPs in an Optimal Binary Search Tree (OBST) and to reconstruct the reduced sample time series. Comparison with existing approaches show that the time series reconstructed by the proposed method is able to maintain the shape of the original time series very well and preserve more trends. Our approach also ensures that the average retrieval cost is kept at a minimum.     

基于多尺度小波变换和短时分形理论的航迹关联方法

在多传感器监视系统数据处理过程中，航逮关联是数据融合首要解决的问题之一。对多传感器观测到的目标数据，要识别哪些数据组成的目标航迹源于同一目标。利用多尺度小波变换方法对航迹数据序列进行多层次分析，动态提取航迹数据的特征，建立关联准则并结合短时分形方法，实现了目标航迹自动关联的目的。仿真实验表明这种方法是可行且有效的。     

主成分分析与神经网络的结合在多变量序列预测中的应用

目前预测方法的研究主要集中在单变量时间序列上,本文建立起一种针对多元变量非线性时间序列建模和预测的方法框架.首先,同时考虑序列状态间的线性相关性和非线性相关性,建立初始延迟窗以包含充分的预测信息;然后,利用主成分分析(PCA)方法寻找不同变量在数据空间中的最大方差方向,扩展PCA应用于提取多个变量的综合信息,重构多元变量输入状态相空间;最后,利用神经网络逼近不同变量之间以及当前状态和将来状态之间的函数映射关系,实现多元变量预测.对Ro¨ssler混沌方程和大连降雨、气温序列的预测仿真说明了本文方法的有效性,为多元变量时间序列分析提供了一条新的途径.     

基于储备池主成分分析的多元时间序列预测研究

提出一种基于回声状态网络储备池的非线性ＰＣＡ 方法,并将其应用于多元时间序列的预测中．由于多维输入变量间的相关性会影响建模效果,通过储备池将输入在原空间的非线性特征转化成高维空间的线性特征．在其中运用线性ＰＣＡ 技术寻找输入在储备池空间的最大方差方向,提取有效的多元变量综合信息．经储备池主成分分析处理后的输入与预测点呈动态线性映射,可使用线性方法建模．仿真结果表明了该方法的有效性．     

Financial time series prediction using polynomial pipelined neural networks

This paper proposes a novel type of higher-order pipelined neural network: the polynomial pipelined neural network. The proposed network is constructed from a number of higher-order neural networks concatenated with each other to predict highly nonlinear and nonstationary signals based on the engineering concept of divide and conquer. The polynomial pipelined neural network is used to predict the exchange rate between the US dollar and three other currencies. In this application, two sets of experiments are carried out. In the first set, the input data are pre-processed between 0 and 1 and passed to the neural networks as nonstationary data. In the second set of experiments, the nonstationary input signals are transformed into one step relative increase in price. The network demonstrates more accurate forecasting and an improvement in the signal to noise ratio over a number of benchmarked neural networks.     

基于变量相关性的多元时间序列特征表示

针对高维特性对多元时间序列数据挖掘过程和结果的影响,以及传统主成分分析方法在多元时间序列数据特征表示上的局限性,提出一种基于变量相关性的多元时间序列数据特征表示方法。通过协方差矩阵描述每个多元时间序列的分布特征和变量相关关系,利用主成分分析方法对综合协方差矩阵进行主元分析,进而实现多元时间序列的数据降维和特征表示。实验结果表明,所提出的方法不仅能提高多元时间序列数据挖掘的质量,还可以对不等长多元时间序列进行快速有效的挖掘。     

基于SVM的混沌时间序列分析

支持向量机是一种基于统计学习理论的新的机器学习方法,该方法已用于解决模式分类问题．本文将支持向量机（SVM）用于混沌时间序列分析,实验数据采用典型地Mackey-Glass混沌时间序列,先对混沌时间序列进行支持向量回归实验;然后采用局域法多步预报模型,利用支持向量机对混沌时间序列进行预测．仿真实验表明,利用支持向量机可以较准确地预测混沌时间序列的变化趋势．     

基于小波变换和AR-LSSVM的非平稳时间序列预测

提出一种基于二进正交小波变换和AR-LSSVM方法的非平稳时间序列预测方案.首先利用Mallat算法对非平稳时同序列进行分解和重构,分离出非平稳时间序列中的低频信息和高频信息;然后对高频信息构建自回归模型,对低频信息则用最小二乘支持向量机进行拟合;最后将各模型的预测结果进行叠加,从而得到原始序列的预测值.研究结果表明,该方法不仅能充分拟合低频信息,而且可避免对高频信息的过拟合.     

基于NetFlow时间序列的网络异常检测

网络流量在正常运行的情况下是具有一定的周期性、稳定性的,异常流量会打破这种规律使流量产生异常波动。提出了一种基于NetFlow时间序列滑动窗口检测网络异常的方法,利用时间序列异常发现算法发现网络流量的异常波动从而实现了实时高效的异常流量发现及预警。已经被检测到的网络异常会持续产生预警信息并影响后续的异常检测,为此还提出了两种平抑异常的方法。实验结果表明该方法能够有效地发现网络异常。     

A modeling approach to financial time series based on market microstructure model with jumps

A continuous-time generalized market microstructure (GMMS) model and its discretized model are proposed for characterizing a class of financial time series. The GMMS model is a kind of jump-diffusion model that may describe the dynamic behaviors of measurable market price, immeasurable market excess demand and market liquidity, as well as the interaction among the three variates in a market. The model includes a jump component that is used to capture the large abnormal variations of financial assets, which may occur when a market is affected by some special events happened suddenly, such as release of important financial information. On the basis of the discrete-time GMMS model, an online recursive jump detection algorithm is proposed, which is developed in accordance with the Markov property of financial time series and the Bayes theorem. Simulations and case studies demonstrate the feasibility and effectiveness of the model and its estimation approach presented in this paper.     

基于时间序列的软件可靠性预测模型研究

将软件可靠性测试阶段获得的失效数据作为时间序列进行多尺度分解,对分解到不同尺度上的数据分别利用不同的时序预测模型进行分析,得到软件可靠性多尺度预测模型.数据实验表明与单一时序预测模型相比,该模型逼近和预测效果良好,具有较高的预测精度和很好的模型适应性.     

基于随机性分析的虚假趋势时间序列判别

针对符合一定数据模式或规律的虚假数据识别问题，提出一种基于随机性分析的虚假趋势时间序列判别方法。该方法在分析时间序列组成的基础上，首先探索虚假趋势时间序列的简单伪造和复杂伪造方式，并将其分解为虚假趋势和虚假随机两部分；然后通过基函数逼近进行时间序列虚假趋势部分的提取，采用随机性理论开展虚假随机部分的分析；最终借助单比特频数和块内频数对虚假随机部分是否具备随机性进行检测，为具有一定趋势特征的虚假时间序列的判别提供了一个解决方案。实验结果表明：该方法能够有效地分解虚假时间序列和提取虚假趋势部分，实现简单伪造数据和复杂伪造数据的判别，支持对通过观测手段或者检测设备所获取的数值型数据的真伪分析，进一步提高了虚假数据可判别范围，平均判别正确率可达74.7%。     

一种基于时序分析异常数据的跌倒行为监测方法*

针对疑似跌倒行为在跌倒监测中经常造成误报的问题,提出了一种基于时间序列分析异常数据的跌倒监测方法。该方法对手机加速度信号进行时间序列分析,通过计算相邻时间窗口之间的相似度来检测异常数据,利用分类器算法对疑似跌倒行为与真实跌倒行为的异常数据样本进行分类。该跌倒监测方法准确率为95％,比传统跌倒监测的方法准确率提高19％,误报率下降5.3％。实验结果表明本方法是一种可行的跌倒监测方法。     

基于时间序列分析的应用层DDoS攻击检测

根据正常用户和攻击者在访问行为上的差异,提出一种基于IP请求熵(SRE)时间序列分析的应用层分布式拒绝服务(DDoS)攻击检测方法。该方法通过拟合SRE时间序列的自适应自回归(AAR)模型,获得描述当前用户访问行为特征的多维参数向量,并使用支持向量机(SVM)对参数向量进行分类来识别攻击。仿真实验表明,该方法能够准确区分正常流量和DDoS攻击流量,适用于大流量背景下攻击流量没有引起整个网络流量显著变化的DDoS攻击的检测。