2004 | OriginalPaper | Chapter
Summarizing Time Series: Learning Patterns in ‘Volatile’ Series
Authors : Saif Ahmad, Tugba Taskaya-Temizel, Khurshid Ahmad
Published in: Intelligent Data Engineering and Automated Learning – IDEAL 2004
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
Most financial time series processes are nonstationary and their frequency characteristics are time-dependant. In this paper we present a time series summarization and prediction framework to analyse nonstationary, volatile and high-frequency time series data. Multiscale wavelet analysis is used to separate out the trend, cyclical fluctuations and autocorrelational effects. The framework can generate verbal signals to describe each effect. The summary output is used to reason about the future behaviour of the time series and to give a prediction. Experiments on the intra-day European currency spot exchange rates are described. The results are compared with a neural network prediction framework.