| Título |
Dynamic Local Trend Associations in Analysis of Comovements of Financial Time Series |
| Tipo |
Congreso |
| Sub-tipo |
Memoria |
| Descripción |
North American Fuzzy Information Processing Society Annual Conference NAFIPS 2017
|
| Resumen |
We show that the correlation coefficient, often used for analysis of co-movements of financial time series, can be misleading because it does not take into account the time ordering of time series values. We propose the new method of analysis of time series comovements based on dynamic local trend association measure. This measure can capture the dynamic change of the sign of association between time series. The advantage of the new method is demonstrated on examples of financial time series. The associations between time series dynamics and related events are also considered. |
| Observaciones |
https://link.springer.com/chapter/10.1007/978-3-319-67137-6_20, DOI 10.1007/978-3-319-67137-6_20, Advances in Intelligent Systems and Computing, v. 648 |
| Lugar |
Cancún |
| País |
Mexico |
| No. de páginas |
181-188 |
| Vol. / Cap. |
648 |
| Inicio |
2017-10-16 |
| Fin |
2017-10-18 |
| ISBN/ISSN |
9783319671369 |
