Looking for breakthrough ideas for innovation challenges? Try Patsnap Eureka!

Financial time series segmentation distribution feature computing method and system

A technology of financial time series and distribution features, which is applied in the fields of finance, computing, and special data processing applications, etc., and can solve the problems of difficulty in extracting segmental distribution features of financial time series data, etc.

Active Publication Date: 2015-07-22
上海卡方信息科技有限公司
View PDF3 Cites 1 Cited by
  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0006] The technical problem to be solved by the present invention is to propose a calculation method for the segmental distribution feature of financial time series data in view of the current situation that it is difficult to extract segmental distribution features of financial time series data

Method used

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
View more

Image

Smart Image Click on the blue labels to locate them in the text.
Viewing Examples
Smart Image
  • Financial time series segmentation distribution feature computing method and system
  • Financial time series segmentation distribution feature computing method and system
  • Financial time series segmentation distribution feature computing method and system

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0050] first reference Figure 7 Shown, method flow process of the present invention is as follows:

[0051] Perform differential processing on the acquired financial transaction data according to the price-time series, remove the DC component in the data, and obtain the differential sequence;

[0052] Continuously segment the difference sequence in time order to obtain several binary vectors;

[0053] Carry out statistics on the distribution characteristics of continuous segments, screen out different types of segments, and count the number of occurrences of the same segment; then sort the segments of different types to form a segment feature matrix, where: the number of each row in the matrix The row vector formed from the first column to the second column represents each segment, and the third column represents the number of occurrences of the corresponding segment; the fourth column to the last column are segment feature vectors;

[0054] According to the segmented featu...

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to View More

PUM

No PUM Login to View More

Abstract

The invention discloses a financial time series segmentation distribution feature computing method. According to the method, based on TICK data of the bargain price, a differential direct-current removal data preprocessing method is adopted, a new segmentation series data structure is configured, continuous segmentation is conducted on the difference series, statistics is conducted on prior probability distribution of the segmentation series, and financial transaction data trend distribution computing is achieved. The invention further provides a financial time series segmentation distribution feature computing system, compared with other financial time series feature extraction algorithms, the system is of a more concise data processing structure, more excellent in recognition performance and good in data consistency; meanwhile, the series distribution feature obtained through the data processing method is obvious, and the performance is more excellent on the aspect of fuzzy estimation compared with other similar algorithms.

Description

technical field [0001] The invention relates to a method for extracting distribution features of financial time series data, which belongs to the technical field of computer data processing. Background technique [0002] Time series analysis has become an integral part of financial market research both theoretically and empirically. Time series analysis method is one of the mainstream methods of financial quantitative analysis. Many research results of modern econometrics and financial markets are based on time series analysis. Engle and Grange won the Nobel Prize in Economics in 2003 for their extensive application of time series models in economics and finance, which is a strong proof that the importance of time series analysis methods is widely recognized in the world. [0003] Financial time series analysis studies the theory and practice of the evolution of asset values ​​over time. For financial asset return series, volatility is often not observed, and statistical ...

Claims

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to View More

Application Information

Patent Timeline
no application Login to View More
IPC IPC(8): G06F17/30G06Q40/04
Inventor 曹东
Owner 上海卡方信息科技有限公司
Who we serve
  • R&D Engineer
  • R&D Manager
  • IP Professional
Why Patsnap Eureka
  • Industry Leading Data Capabilities
  • Powerful AI technology
  • Patent DNA Extraction
Social media
Patsnap Eureka Blog
Learn More
PatSnap group products

Browse by: Latest US Patents, China's latest patents, Technical Efficacy Thesaurus, Application Domain, Technology Topic, Popular Technical Reports.

© 2024 PatSnap. All rights reserved.Legal|Privacy policy|Modern Slavery Act Transparency Statement|Sitemap|About US| Contact US: help@patsnap.com