Dynamic Time Warping as a Similarity Measure: Applications in Finance

This paper presents the basic DTW-algorithm and the manner it can be used as a similarity measure for two different series that might differ in length. Through a simulation process it is being showed the relation of DTW-based similarity measure, dubbed ?_DTW, with two other celebrated measures, that of the Pearson’s and Spearman’s correlation coefficients. In particular, it is shown that ?_DTW takes lower (greater) values when other two measures are great (low) in absolute terms. In addition a dataset composed by 8 financial indices was used, and two applications of the aforementioned measure are presented. First, through a rolling basis, the evolution of ?_DTW has been examined along with the Pearson’s correlation and the volatility. Results showed that in periods of high (low) volatility similarities within the examined series increase (decrease). Second, a comparison of the mean similarities across different classes of months is being carried. Results vary, however a statistical significant greater similarity within Aprils is being reported compared to other months, especially for the CAC 40, IBEX 35 and FTSE MIB indices

About Dynamical Systems Appearing in the Microscopic Traffic Modeling

Motivated by microscopic traffic modeling, we analyze dynamical systems which have a piecewise linear concave dynamics not necessarily monotonic. We introduce a deterministic Petri net extension where edges may have negative weights. The dynamics of these Petri nets are well-defined and may be described by a generalized matrix with a submatrix in the standard algebra with possibly negative entries, and another submatrix in the minplus algebra. When the dynamics is additively homogeneous, a generalized additive eigenvalue may be introduced, and the ergodic theory may be used to define a growth rate under additional technical assumptions. In the traffic example of two roads with one junction, we compute explicitly the eigenvalue and we show, by numerical simulations, that these two quantities (the additive eigenvalue and the growth rate) are not equal, but are close to each other. With this result, we are able to extend the well-studied notion of fundamental traffic diagram (the average flow as a function of the car density on a road) to the case of two roads with one junction and give a very simple analytic approximation of this diagram where four phases appear with clear traffic interpretations. Simulations show that the fundamental diagram shape obtained is also valid for systems with many junctions. To simulate these systems, we have to compute their dynamics, which are not quite simple. For building them in a modular way, we introduce generalized parallel, series and feedback compositions of piecewise linear concave dynamics.Comment: PDF 38 page

Improved Two-Dimensional Warping

The well-known dynamic programming time warping algorithm (DTW) provides an optimal matching between 1-dimensional sequences in polynomial time. Finding an optimal 2-dimensional warping is an NP-complete problem. Hence, only approximate non-exponential time 2-dimensional warping algorithms currently exist. A polynomial time 2-dimensional approximation algorithm was proposed recently. This project provides a thorough analytical and experimental study of this algorithm. Its time complexity is improved from O(N^6) to O(N^4). An extension of the algorithm to 3D and potential higher-dimensional applications are described

Opportunities for Price Manipulation by Aggregators in Electricity Markets

Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and regulate, raising concerns about potential market manipulation by aggregators. In this paper, we study this issue by quantifying the profit an aggregator can obtain through strategic curtailment of generation in an electricity market. We show that, while the problem of maximizing the benefit from curtailment is hard in general, efficient algorithms exist when the topology of the network is radial (acyclic). Further, we highlight that significant increases in profit are possible via strategic curtailment in practical settings

A parallel implementation on a multi-core architecture of a dynamic programming algorithm applied in cognitive radio ad hoc networks

Spectral resources allocation is a major problem in cognitive radio ad hoc networks and currently most of the research papers use meta-heuristics to solve it. On the other side, the term parallelism refers to techniques to make programs faster by performing several computations in parallel. Parallelism would be very interesting to increase the performance of real-time systems, especially for the cognitive radio ad hoc networks that interest us in this work. In this paper, we present a parallel implementation on a multi-core architecture of dynamic programming algorithm applied in cognitive radio ad hoc networks. Our simulations approve the desired results, showing significant gain in terms of execution time. The main objective is to allow a cognitive engine to use an exact method and to have better results compared to the use of meta-heuristics

VOICE RECOGNITION FOR SECURITY PURPOSES

This report presents the implementation of Voice Recognition System for Security Purposes. The scope of study is to understand the existing algorithms and develop a brand new algorithm which is better in terms of its reliability and accuracy. It will be implemented in Matlab environment. The main objective of this project is to develop a newvoice recognition system that will have minimum error in identifying the speaker. The system was built by combining a speech recognition system with a speaker recognition system. For speech recognizer, the Dynamic Time Warping is used and for speaker recognizer, the Mel-Frequency Cepstrum Coefficients is used. The results show that thecombination of both algorithms has produced a robust Voice Security System