Model selection of a switching mechanism for financial time series

2016 ◽  
Vol 32 (6) ◽  
pp. 836-851 ◽  
Author(s):  
Buu-Chau Truong ◽  
Cathy W. S. Chen ◽  
Mike K. P. So
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Financial Time Series ◽  
Switching Mechanism ◽  
Financial Time ◽  
Selection Of

scholarly journals On the Similarity and Dependence of Time Series

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 550
Author(s):  
Vilém Novák ◽  
Soheyla Mirshahi
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Random Noise ◽  
Similarity Index ◽  
Index Properties ◽  
Fuzzy Transform ◽  
Financial Time ◽  
Selection Of

In this paper, we undertake the problem of evaluating interrelation among time series. Interrelation is measured using a similarity index. In this paper, we suggest a new one based on the known fuzzy transform (F-transform), which has been proven to remove higher frequencies than a given threshold and reduce the random noise significantly. The F-transform also provides an estimation of the slope of time series in a given imprecisely delineated time. We prove some of the suggested index properties and show its ability to measure similarity (and thus the interrelation) on a selection of several real financial time series. The method is well interpretable and easy to adjust.

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