• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2010 > Volume 1 Number 4 (Dec. 2010) >
IJTEF 2010 Vol.1(4): 320-324 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2010.V1.57

Financial Data Representation and Similarity Model

Yongwei Ding, Xiaohu Yang, Alexsander J. Kavs, and Juefeng Li

Abstract—Similarity metric is of fundamental importance for similarity matching and subsequence query in time series applications. Most existing approaches measure the similarity by calculating and aggregating the point-to-point distance, few of them take the segment trend duration into account. In this paper, upon analyzing the properties of financial time series, we define a time series notation which is more intuitive and expressive. Base on that, a new similarity model is proposed. Experiments on both real foreign currency exchange rate data and stock market data are performed. The result shows the effectiveness and good accuracy of our method. The similarity model is also proved to be segmentation algorithm independent thus can be combined with other segmentations for similarity query, pattern matching, classification, and clustering.

Index Terms—financial data, piecewise linear representation, radian distance, segment duration, similarity, time series.

Yongwei Ding is with the College of Computer Science and Technology, Zhejiang University, Hangzhou, Zhejiang 310027 P.R. China (phone: 86-135-8803-7210, e-mail: ywding@zju.edu.cn).
Xiaohu Yang is with the College of Computer Science and Technology, Zhejiang University, Hangzhou, Zhejiang 310027 P.R. China (e-mail: yangxh@zju.edu.cn).
Alexsander J. Kavs is with the State Street Corporation, Boston, MA 02111 USA (e-mail: ajkavs@statestreet.com)
Juefeng Li is with the State Street Technology (Zhejiang), Hangzhou, Zhejiang 310030 P.R. China (e-mail: lijuefeng@statestreet.com).

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Cite:Yongwei Ding, Xiaohu Yang, Alexsander J. Kavs, and Juefeng Li, "Financial Data Representation and Similarity Model," International Journal of Trade, Economics and Finance vol.1, no.4, pp. 320-324, 2010.

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