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On similarity of financial data series based on fractal dimension

  • Jian Rong Hou*
  • , Hui Zhao
  • , Pei Huang
  • *此作品的通讯作者

科研成果: 书/报告/会议事项章节会议稿件同行评审

摘要

Financial time series show the non-linear and fractal characters in the process of time-space kinetics evolution. Traditional dimension reduction methods for similarity query introduce the smoothness to data series in some degree. In the case of unknowing the fractal dimension of financial non-stationary time series, the process of querying the similarity of curve figure will be affected to a certain degree. In this paper, an evaluation formula of varying-time Hurst index is established and the algorithm of varying-time index is presented, and a new determinant standard of series similarity is also introduced. The similarity of curve basic figure is queried and measured at some resolution ratio level. In the meantime, the fractal dimension in local similarity is matched. The effectiveness of the method is validated by means of the simulation examples.

源语言英语
主期刊名Advanced Data Mining and Applications - Second International Conference, ADMA 2006, Proceedings
编辑Xue Li, Osmar R. Zaïane, Zhanhuai Li
出版商Springer Verlag
782-789
页数8
ISBN(印刷版)3540370250, 9783540370253
DOI
出版状态已出版 - 2006
活动2nd International Conference on Advanced Data Mining and Applications, ADMA 2006 - Xi'an, 中国
期限: 14 8月 200616 8月 2006

出版系列

姓名Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
4093 LNAI
ISSN(印刷版)0302-9743
ISSN(电子版)1611-3349

会议

会议2nd International Conference on Advanced Data Mining and Applications, ADMA 2006
国家/地区中国
Xi'an
时期14/08/0616/08/06

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