相关论文: Forbidden patterns in financial time series

Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…

A new model for time series with a specific oscillation pattern is proposed. The model consists of a hidden phase process controlling the speed of polling and a nonparametric curve characterizing the pattern, leading together to a…

In this paper, a new model-free anomaly detection framework is proposed for time-series induced by industrial dynamical systems.The framework lies in the category of conventional approaches which enable appealing features such as a learning…

We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…

We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by…

Deep generative models for anomaly detection in multivariate time-series are typically trained by maximizing data likelihood. However, likelihood in observation space measures marginal density rather than conformity to structured temporal…

The paper deals with the convergence properties of the products of random (row-)stochastic matrices. The limiting behavior of such products is studied from a dynamical system point of view. In particular, by appropriately defining a dynamic…

In this research paper, weighted / unweighted, directed / undirected graphs are associated with interesting Discrete Time Markov Chains (DTMCs) as well as Continuous Time Markov Chains (CTMCs). The equilibrium / transient behaviour of such…

This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of model which meets this requirement. As it…

Sequential data - ranging from financial time series to natural language - has driven the growing adoption of autoregressive models. However, these algorithms rely on the presence of underlying patterns in the data, and their identification…

Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…

Hidden Markov chains are widely applied statistical models of stochastic processes, from fundamental physics and chemistry to finance, health, and artificial intelligence. The hidden Markov processes they generate are notoriously…

This paper investigates the phenomenon of support and resistance levels (SR levels) in financial time series, which act as temporary price barriers that reverses price trends. We develop a heuristic discovery algorithm for this purpose, to…

Many empirical time series are genuinely symbolic: examples range from link activation patterns in network science, DNA coding or firing patterns in neuroscience to cryptography or combinatorics on words. In some other contexts, the…

We consider questions related to the computation of the capacity of codes that avoid forbidden difference patterns. The maximal number of $n$-bit sequences whose pairwise differences do not contain some given forbidden difference patterns…

We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a…

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…

Dow Jones Index time series exhibit irregular or fractal fluctuations on all time scales from days, months to years. The nonlinear fluctuations are selfsimilar as exhibited in inverse power law form for power spectra of temporal…

We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…