相关论文: Financial time-series analysis: A brief overview

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…

Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect…

Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…

In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized…

Combustion reaction kinetics models are used for the description of a special class of bursty Financial Time Series. The small number of parameters they depend upon enable financial analysts to predict the time as well as the magnitude of…

Financial time series (FinTS) record the behavior of human-brain-augmented decision-making, capturing valuable historical information that can be leveraged for profitable investment strategies. Not surprisingly, this area has attracted…

Training deep learning models that generalize well to live deployment is a challenging problem in the financial markets. The challenge arises because of high dimensionality, limited observations, changing data distributions, and a low…

Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of…

A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…

Literature highlighted that financial time series data pose significant challenges for accurate stock price prediction, because these data are characterized by noise and susceptibility to news; traditional statistical methodologies made…

Time series forecasting has always been a thought-provoking topic in the field of machine learning. Machine learning scientists define a time series as a set of observations recorded over consistent time steps. And, time series forecasting…

The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…

Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…

The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular, equidistant intervals. Nonetheless, already nearly 60…

In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…

The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…

Time series analysis is a field of data science which is interested in analyzing sequences of numerical values ordered in time. Time series are particularly interesting because they allow us to visualize and understand the evolution of a…

Despite the growing attention to time series forecasting in recent years, many studies have proposed various solutions to address the challenges encountered in time series prediction, aiming to improve forecasting performance. However,…

Time series is a collection of data instances that are ordered according to a time stamp. Stock prices, temperature, etc are examples of time series data in real life. Time series data are used for forecasting sales, predicting trends.…

We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the…