scholarly journals THE REVIEW OF CHANGE-POINT DETECTION METHODS AND PROSPECTS OF THEIR APPLICATION IN THE TECHNICAL ANALYSIS OF STOCK EXCHANGE QUOTES

2011 ◽  
Vol 16 (0) ◽  
Author(s):  
O. P. Lutsenko ◽  
O. H. Baybuz
Keyword(s):  
Change Point ◽  
Stock Exchange ◽  
Technical Analysis ◽  
Change Point Detection ◽  
Detection Methods ◽  
Point Detection

scholarly journals Change-point detection in wind turbine SCADA data for robust condition monitoring with normal behaviour models

2020 ◽  
Author(s):  
Simon Letzgus
Keyword(s):  
Wind Turbine ◽  
Change Point ◽  
Significant Loss ◽  
Change Point Detection ◽  
Training Data ◽  
Change Points ◽  
Detection Methods ◽  
Full Potential ◽  
Normal Behaviour ◽  
Point Detection

Abstract. Analysis of data from wind turbine supervisory control and data acquisition (SCADA) systems has attracted considerable research interest in recent years. The data is predominantly used to gain insights into turbine condition without the need for additional sensing equipment. Most successful approaches apply semi-supervised anomaly detection methods, also called normal behaivour models, that use clean training data sets to establish healthy component baseline models. However, one of the major challenges when working with wind turbine SCADA data in practice is the presence of systematic changes in signal behaviour induced by malfunctions or maintenance actions. Even though this problem is well described in literature it has not been systematically addressed so far. This contribution is the first to comprehensively analyse the presence of change-points in wind turbine SCADA signals and introduce an algorithm for their automated detection. 600 signals from 33 turbines are analysed over an operational period of more than two years. During this time one third of the signals are affected by change-points. Kernel change-point detection methods have shown promising results in similar settings but their performance strongly depends on the choice of several hyperparameters. This contribution presents a comprehensive comparison between different kernels as well as kernel-bandwidth and regularisation-penalty selection heuristics. Moreover, an appropriate data pre-processing procedure is introduced. The results show that the combination of Laplace kernels with a newly introduced bandwidth and penalty selection heuristic robustly outperforms existing methods. In a signal validation setting more than 90 % of the signals were classified correctly regarding the presence or absence of change-points, resulting in a F1-score of 0.86. For a change-point-free sequence selection the most severe 60 % of all CPs could be automatically removed with a precision of more than 0.96 and therefore without a significant loss of training data. These results indicate that the algorithm can be a meaningful step towards automated SCADA data pre-processing which is key for data driven methods to reach their full potential. The algorithm is open source and its implementation in Python publicly available.

scholarly journals Machine Committee Framework for Power Grid Disturbances Analysis Using Synchrophasors Data

Smart Cities ◽  
2020 ◽  
Vol 4 (1) ◽  
pp. 1-16
Author(s):  
Haoran Niu ◽  
Olufemi A. Omitaomu ◽  
Qing C. Cao
Keyword(s):  
Event Detection ◽  
Change Point ◽  
Power Grid ◽  
Detection Algorithm ◽  
Change Point Detection ◽  
Detection Methods ◽  
Detection Accuracy ◽  
Disturbance Analysis ◽  
Events Detection ◽  
Point Detection

Events detection is a key challenge in power grid frequency disturbances analysis. Accurate detection of events is crucial for situational awareness of the power system. In this paper, we study the problem of events detection in power grid frequency disturbance analysis using synchrophasors data streams. Current events detection approaches for power grid rely on individual detection algorithm. This study integrates some of the existing detection algorithms using the concept of machine committee to develop improved detection approaches for grid disturbance analysis. Specifically, we propose two algorithms—an Event Detection Machine Committee (EDMC) algorithm and a Change-Point Detection Machine Committee (CPDMC) algorithm. Both algorithms use parallel architecture to fuse detection knowledge of its individual methods to arrive at an overall output. The EDMC algorithm combines five individual event detection methods, while the CPDMC algorithm combines two change-point detection methods. Each method performs the detection task separately. The overall output of each algorithm is then computed using a voting strategy. The proposed algorithms are evaluated using three case studies of actual power grid disturbances. Compared with the individual results of the various detection methods, we found that the EDMC algorithm is a better fit for analyzing synchrophasors data; it improves the detection accuracy; and it is suitable for practical scenarios.

DEVELOPING TIME-BASED CLUSTERING NEURAL NETWORKS TO USE CHANGE-POINT DETECTION: APPLICATION TO FINANCIAL TIME SERIES

2005 ◽  
Vol 22 (01) ◽  
pp. 51-70 ◽  
Author(s):  
KYONG JOO OH ◽  
TAE HYUP ROH ◽  
MYUNG SANG MOON
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Change Point ◽  
Financial Time Series ◽  
Change Point Detection ◽  
Detection Methods ◽  
Financial Time ◽  
Point Groups ◽  
Point Detection

This study suggests time-based clustering models integrating change-point detection and neural networks, and applies them to financial time series forecasting. The basic concept of the proposed models is to obtain intervals divided by change points, to identify them as change-point groups, and to involve them in the forecasting model. The proposed models consist of two stages. The first stage, the clustering neural network modeling stage, is to detect successive change points in the dataset, and to forecast change-point groups with backpropagation neural networks (BPNs). In this stage, three change-point detection methods are applied and compared. They are: (1) the parametric approach, (2) the nonparametric approach, and (3) the model-based approach. The next stage is to forecast the final output with BPNs. Through the application to financial time series forecasting, we compare the proposed models with a neural network model alone and, in addition, determine which of three change-point detection methods performs better. Furthermore, we evaluate whether the proposed models play a role in clustering to reflect the time. Finally, this study examines the predictability of the integrated neural network models based on change-point detection.

scholarly journals Selective review of offline change point detection methods

2020 ◽  
Vol 167 ◽  
pp. 107299 ◽  
Author(s):  
Charles Truong ◽  
Laurent Oudre ◽  
Nicolas Vayatis
Keyword(s):  
Change Point ◽  
Change Point Detection ◽  
Detection Methods ◽  
Selective Review ◽  
Point Detection

scholarly journals Prediction of stock switching points by financial news

2021 ◽  
Author(s):  
Saeede Sadat Asadi Kakhki
Keyword(s):  
Change Point ◽  
Latent Dirichlet Allocation ◽  
Performance Metrics ◽  
Change Point Detection ◽  
Change Points ◽  
Detection Methods ◽  
Financial News ◽  
Point Detection ◽  
Stock Change ◽  
Random Guessing

The purpose of this study is to detect stock switching points from historical stock data and analyze corresponding financial news to predict upcoming stock switching points. Various change point detection methods have been investigated in the literature, such as online bayesian change point detection technique. Prediction of stock changing points using financial news has been implemented by different types of text mining techniques. In this study, online bayesian change point detection is implemented to detect stock switching points from historical stock data. Relevant news to detected change points are retrieved in the past and Latent Dirichlet Allocation technique is used to learn the hidden structures in the news data. Unseen news are then transferred to the trained topic representation. Similarity of relevant news and unseen news are used for prediction of future stock change points. Results show that stock switching points can be detected by historical stock data with better performance comparing to random guessing. It is possible to predict stock switching points by only fraction of financial news and with good result in terms of common performance metrics. According to this research, traders can take advantage of financial news to enhance prediction of future stock switching points.

Sign in / Sign up

Export Citation Format

Share Document