相关论文: Forbidden patterns in financial time series

We deal here with the issue of determinism versus randomness in time series. One wishes to identify their relative importance in a given time series. To this end we extend i) the use of ordinal patterns-based probability distribution…

Forbidden ordinal patterns are ordinal patterns (or `rank blocks') that cannot appear in the orbits generated by a map taking values on a linearly ordered space, in which case we say that the map has forbidden patterns. Once a map has a…

The scope of this paper is two-fold. First, to present to the researchers in combinatorics an interesting implementation of permutations avoiding generalized patterns in the framework of discrete-time dynamical systems. Indeed, the orbits…

Order patterns and permutation entropy have become useful tools for studying biomedical, geophysical or climate time series. Here we study day-to-day market data, and Brownian motion which is a good model for their order patterns. A crucial…

Short-term patterns in financial time series form the cornerstone of many algorithmic trading strategies, yet extracting these patterns reliably from noisy market data remains a formidable challenge. In this paper, we propose an…

Permutation entropy measures the complexity of deterministic time series via a data symbolic quantization consisting of rank vectors called ordinal patterns or just permutations. The reasons for the increasing popularity of this entropy in…

Ordinal Patterns are a time-series data analysis tool used as a preliminary step to construct the Permutation Entropy which itself allows the same characterization of dynamics as chaotic or regular as more theoretical constructs such as the…

A pattern of a sequence is a sequence of integer indices with each index describing the order of first occurrence of the respective symbol in the original sequence. In a recent paper, tight general bounds on the block entropy of patterns of…

Bounds on the entropy of patterns of sequences generated by independently identically distributed (i.i.d.) sources are derived. A pattern is a sequence of indices that contains all consecutive integer indices in increasing order of first…

Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

Tight bounds on the block entropy of patterns of sequences generated by independent and identically distributed (i.i.d.) sources are derived. A pattern of a sequence is a sequence of integer indices with each index representing the order of…

Entropy metrics (for example, permutation entropy) are nonlinear measures of irregularity in time series (one-dimensional data). Some of these entropy metrics can be generalised to data on periodic structures such as a grid or lattice…

The ordinal patterns of a fixed number of consecutive values in a time series is the spatial ordering of these values. Counting how often a specific ordinal pattern occurs in a time series provides important insights into the properties of…

On account of a greater need for understanding the complexity of time series like physiological time series, financial time series, and many more that enter into picture for their inculpation with real-world problems, several complexity…

Financial markets exhibit alternating periods of rising and falling prices. Stock traders seeking to make profitable investment decisions have to account for those trends, where the goal is to accurately predict switches from bullish…

A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…

Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…

We initiate a general approach for the fast enumeration of permutations with a prescribed number of occurrences of `forbidden' patterns, that seems to indicate that the enumerating sequence is always P-recursive. We illustrate the method…

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…