Dynamic Time Interval Data Representation in Scalable Financial Time Series Pattern Recognition

This study compares the effectiveness of three methods-Fréchet Distance, Dynamic Time Warping (DTW), and Convolutional Neural Networks (CNNs)-in detecting similarities and pattern recognition in time series. It proposes a Pattern-Driven Case Generator (PDCG) framework to automate the creation of labeled time series data for training CNN models, addressing the challenge of manual dataset curation. By injecting controlled noise and interpolating diverse shapes (e.g., W/M/nAn/vVv), a PDCG synthesizes realistic training data that enhances model robustness. Experimental results demonstrate that the CNN model, trained with 10,000 PDCG-generated cases, achieves 86-98% accuracy in pattern recognition, outperforming traditional methods (Fréchet and DTW) for complex, misaligned, and variable-length sequences. The PDCG-enhanced CNN's scalability and adaptability improve with larger datasets, validating the PDCG's efficacy in bridging simulation and real-world applications.

Financial firms commonly process and store billions of time-series data, generated continuously and at a high frequency. To support efficient data storage and retrieval, specialized time-series databases and systems have emerged. These databases support indexing and querying of time-series by a constrained Structured Query Language(SQL)-like format to enable queries like "Stocks with monthly price returns greater than 5%", and expressed in rigid formats. However, such queries do not capture the intrinsic complexity of high dimensional time-series data, which can often be better described by images or language (e.g., "A stock in low volatility regime"). Moreover, the required storage, computational time, and retrieval complexity to search in the time-series space are often non-trivial. In this paper, we propose and demonstrate a framework to store multi-modal data for financial time-series in a lower-dimensional latent space using deep encoders, such that the latent space projections capture not only the time series trends but also other desirable information or properties of the financial time-series data (such as price volatility). Moreover, our approach allows user-friendly query interfaces, enabling natural language text or sketches of time-series, for which we have developed intuitive interfaces. We demonstrate the advantages of our method in terms of computational efficiency and accuracy on real historical data as well as synthetic data, and highlight the utility of latent-space projections in the storage and retrieval of financial time-series data with intuitive query modalities.

Since the 2008 global economic crisis, the detection of financial instabilities has garnered extensive research attention, particularly through the application of time-series analysis. In this study, a novel time-series analysis method, integrating the Kullback-Leibler Divergence (KLD) metric with a sliding window technique, is proposed to detect instabilities in time-series data, especially in financial markets. Global financial time series from 2004 to 2022 were analyzed. The raw time series were preprocessed into return rate series and transformed into complex networks using the directed horizontal visibility graph (DHVG) algorithm, effectively preserving temporal variabilities in network topologies. The KLD method was evaluated through both retrospective analysis and real-time monitoring. It successfully identified idiosyncratic incidents in the financial market, correlating them with specific economic events. Compared to traditional metrics (e.g., moments) and econometric methods, KLD demonstrated superior performance in capturing sequence information and detecting anomalies without requiring linear regression models. Although initially designed for financial data, the KLD method is versatile and can be applied to other types of time series as well.

OBST-based segmentation approach to financial time series

The novel Time Series Data Mining (TSDM) framework is applied to analyzing financial time series. The TSDM framework adapts and innovates data mining concepts to analyzing time series data. In particular, it creates a set of methods that reveal hidden temporal patterns that are characteristic and predictive of time series events. This contrasts with other time series analysis techniques, which typically characterize and predict all observations. The TSDM framework and concepts are reviewed, and the applicable TSDM method is discussed. Finally, the TSDM method is applied to time series generated by a basket of financial securities. The results show that statistically significant temporal patterns that are both characteristic and predictive of events in financial time series can be identified.

Associating stock prices with web financial information time series based on support vector regression

The increased availability of time series datasets prompts the development of new tools and methods that allow machine learning classifiers to better cope with time series data. Time series data are usually characterized by a high space dimensionality and a very strong correlation among features. This special nature makes the development of effective time series classifiers a challenging task. This work proposes and analyzes methods combining spectral decomposition and feature selection for time series classification problems and compares them against methods that work with original time series and time-dependent features. Briefly, our approach first applies discrete cosine transform (DCT) or discrete wavelet transform (DWT) on time series data. Then, it performs supervised feature selection/reduction by selecting only the most discriminative set of coefficients to represent the data. Experimental evaluations, carried out on multiple datasets, demonstrate the benefits of our approach in learning efficient and accurate time series classifiers.

Lead–lag relationship where a lagging time series partially replicates the movement of a leading time series, is frequently observed in financial time series data. Empirical estimation of this lead–lag relationship is challenging due to the excessive noise present in time series data. The present research work proposes a new technique that helps better identify the lead–lag relationship empirically. Further, it gives a measure (aligned correlation) that estimates the distance between two time series after adjusting for any lead–lag relationship between the two series. The proposed technique is compared with existing state‐of‐the‐art techniques, dynamic time warping (DTW) and thermal optimal path (TOP). Tests are performed on synthetic time series (STS) with known lead–lag relationship and comparisons are done on the basis of statistical significance and forecast accuracy. The proposed technique gives the best results in terms of both these criteria. It finds lead–lag paths between the time series that are all statistically significant, and its forecasts of the lagging time series made using the leading time series are closest to the actual values. Further experiments conducted on a financial time series dataset and an ECG dataset reveal the effectiveness of the proposed methodology.

Pattern recognition in time series for space missions: A rosetta magnetic field case study

Identifying events in financial time series – A new approach with bipower variation

Chaotic signals inside some tick-by-tick financial time series

Direct least squares fitting of ellipses segmentation and prioritized rules classification for curve-shaped chart patterns

China has accumulated a large amount of valuable hydrological data, and the descriptive physical variables can be categorized into various types of hydrological time series. Time-series data usually contains huge amounts of high-dimension data that being continuously updated, thus it is difficult to directly mine the original time series data. This chapter adopts a time series segmentation algorithm based on series importance point (SIP)—PLR_SIP, to approximately describe time series with line segments based on SIP. SIPs are used as the splitting point to reflect the main features of time series and reduce the dimensions of the time series data, thus minimizing the overall error.

The article will present the methodology for holistic time series analysis, based on time series transformation model REFII (REFII is an acronym for Raise-Equal-Fall and the model version is II or 2) Patel et al. (Mining motifs in massive time series databases, 2002) [1], Perng and Parker (SQL/LPP: a time series extension of SQL based on limited patience patterns, 1999) [2], Popivanov and Miller (Similarity search over time series data using wavelets, 2002) [3]. The main purpose of REFII model is to automate time series analysis through a unique transformation model of time series. The advantage of this approach to a time series analysis is the linkage of different methods for time series analysis linking traditional data mining tools in time series, and constructing new algorithms for analyzing time series. REFII model is not a closed system, which means that there is a finite set of methods. This is primarily a model used for transformation of values of time series, which prepares data used by different sets of methods based on the same model of transformation in the domain of problem space. REFII model gives a new approach in time series analysis based on a unique model of transformation, which is a base for all kind of time series analyses. In combination with elements of other methods, such as self-organizing maps or frequent-pattern trees, REFII models can make new hybrid methods for efficient time temporal data mining. Similar principle of hybridization could be used as a tool for time series temporal pattern recognition. The article describes real case study illustrating practical application of described methodology.

Massive bike-sharing systems (BSS) usage and performance data have been collected for years over various locations. Nevertheless, researchers encountered several challenges while dealing with massive BSS data. The challenges that could be enhanced in the previous studies are 1) reducing high dimensionality and noise of BSS time series data and 2) extracting informative usage patterns out of massive BSS data. This paper extracts patterns and reduce data dimensions of BSS usage by exploring time series representation and clustering of BSS usage data. A reduced dimension allows us to efficiently approximate the BSS usage with reasonable accuracy, which can be further used for bike usage clustering, classification and prediction. We employ a non-data adaptive representation technique -Discrete Wavelet Transform (DWT) to reduce dimensionality and filter out random errors of the raw time series. Time series are clustered using k-means based on similarities measured by Dynamic Time Warping (DTW) and prototypes computed using DTW barycenter averaging (DBA). The proposed approaches are applied on a 3-month bike usage dataset acquired on the BSS of Chicago. The analysis results show that DWT can effectively reduce dimensionality, filter out random errors and reveal the main characteristics of the raw time series. The clustering approach offers the ability to differentiate and discover bike usage patterns across different stations.