A New Representation and Distance Measure for Financial Time Series

作者：Ding Yongwei^*; Yang Xiaohu; Li Juefeng; Kavs Alexsander J

来源：2nd IEEE International Conference on Information and Financial Engineering (ICIFE), 2010-09-17 to 2010-09-19.

DOI：10.1109/ICIFE.2010.5609286

• similarity
• time series
• financial
• piecewise linear representation
• segment duration
• radian distance

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 take 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.

• 出版日期2010
• 单位浙江大学