Stock data clustering and multiscale trend detection
DOI10.1007/S11009-010-9186-7zbMATH Open1241.62145OpenAlexW2040987808MaRDI QIDQ430849FDOQ430849
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
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- scientific article; zbMATH DE number 1700390
financial time serieslinear time clustering algorithmmonotonic algorithmmultiscale trend detectionspace dilating measure
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)
Cites Work
- Cluster analysis.
- Space-conserving agglomerative algorithms
- Transfer estimation of evolving class priors in data stream classification
- Dimensionality reduction for fast similarity search in large time series databases
- Asset Trees and Asset Graphs in Financial Markets
- Correlation based networks of equity returns sampled at different time horizons
- Unfolding preprocessing for meaningful time series clustering
- Evolution and time horizons in an agent-based stock market
- Mining evolving data streams for frequent patterns
- Adaptive correlation analysis in stream time series with sliding windows
Cited In (3)
Uses Software
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