Stock data clustering and multiscale trend detection

DOI10.1007/S11009-010-9186-7MaRDI QIDQ430849zbMATH OpenOpenAlexFDO

Authors Andreea B. Dragut

Publication date 26 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9186-7

zbMATH Keywords

financial time serieslinear time clustering algorithmmonotonic algorithmmultiscale trend detectionspace dilating measure

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Adaptive correlation analysis in stream time series with sliding windows
• Asset Trees and Asset Graphs in Financial Markets
• Cluster analysis.
• Correlation based networks of equity returns sampled at different time horizons
• Dimensionality reduction for fast similarity search in large time series databases
• Evolution and time horizons in an agent-based stock market
• Mining evolving data streams for frequent patterns
• Space-conserving agglomerative algorithms
• Transfer estimation of evolving class priors in data stream classification
• Unfolding preprocessing for meaningful time series clustering

Cited in

(3)

• Online detecting and predicting special patterns over financial data streams
• Versatile hyper-elliptic clustering approach for streaming data based on one-pass-thrown-away learning
• scientific article; zbMATH DE number 6907460 (Why is no real title available?)

Describes a project that uses

Uses Software

• wmtsa

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