Financial time series representation using multiresolution important point retrieval method

Financial time series analysis usually conducts by determining the series important points. These important points which are the peaks and the dips indicate the affecting of some important factors or events which are available both internal factors and external factors. The peak and the dip points of the series may appear frequently in multiresolution over time. However, to manipulate financial time series, researchers usually decrease this complexity of time series in their techniques. Consequently, transfonning the time series into another easily understanding representation is usually considered as an appropriate approach. In this paper, we propose a multiresolution important point retrieval method for financial time series representation. The idea of the method is based on finding the most important points in multiresolution. These retrieved important points are recorded in each resolution. The collected important points are used to construct the TS-binary search tree. From the TS-binary search tree, the application of time series segmentation is conducted. The experimental results show that the TS-binary search tree representation for financial time series exhibits different performance in different number of cutting points, however, in the empirical results, the number of cutting points which are larger than 12 points show the better results

On Spatial Point Processes with Uniform Births and Deaths by Random Connection

This paper is focused on a class of spatial birth and death process of the Euclidean space where the birth rate is constant and the death rate of a given point is the shot noise created at its location by the other points of the current configuration for some response function $f$. An equivalent view point is that each pair of points of the configuration establishes a random connection at an exponential time determined by $f$, which results in the death of one of the two points. We concentrate on space-motion invariant processes of this type. Under some natural conditions on $f$, we construct the unique time-stationary regime of this class of point processes by a coupling argument. We then use the birth and death structure to establish a hierarchy of balance integral relations between the factorial moment measures. Finally, we show that the time-stationary point process exhibits a certain kind of repulsion between its points that we call $f$-repulsion

Concurrent Data Structures Linked in Time

Arguments about correctness of a concurrent data structure are typically carried out by using the notion of linearizability and specifying the linearization points of the data structure's procedures. Such arguments are often cumbersome as the linearization points' position in time can be dynamic (depend on the interference, run-time values and events from the past, or even future), non-local (appear in procedures other than the one considered), and whose position in the execution trace may only be determined after the considered procedure has already terminated. In this paper we propose a new method, based on a separation-style logic, for reasoning about concurrent objects with such linearization points. We embrace the dynamic nature of linearization points, and encode it as part of the data structure's auxiliary state, so that it can be dynamically modified in place by auxiliary code, as needed when some appropriate run-time event occurs. We name the idea linking-in-time, because it reduces temporal reasoning to spatial reasoning. For example, modifying a temporal position of a linearization point can be modeled similarly to a pointer update in separation logic. Furthermore, the auxiliary state provides a convenient way to concisely express the properties essential for reasoning about clients of such concurrent objects. We illustrate the method by verifying (mechanically in Coq) an intricate optimal snapshot algorithm due to Jayanti, as well as some clients

Dynamic quantum clustering: a method for visual exploration of structures in data

A given set of data-points in some feature space may be associated with a Schrodinger equation whose potential is determined by the data. This is known to lead to good clustering solutions. Here we extend this approach into a full-fledged dynamical scheme using a time-dependent Schrodinger equation. Moreover, we approximate this Hamiltonian formalism by a truncated calculation within a set of Gaussian wave functions (coherent states) centered around the original points. This allows for analytic evaluation of the time evolution of all such states, opening up the possibility of exploration of relationships among data-points through observation of varying dynamical-distances among points and convergence of points into clusters. This formalism may be further supplemented by preprocessing, such as dimensional reduction through singular value decomposition or feature filtering.Comment: 15 pages, 9 figure