Algebraic Level-Set Approach for the Segmentation of Financial Time Series

@inproceedings{Palivonaite2014AlgebraicLA,
  title={Algebraic Level-Set Approach for the Segmentation of Financial Time Series},
  author={Rita Palivonaite and Kristina Lukoseviciute and Minvydas Ragulskis},
  booktitle={EvoApplications},
  year={2014}
}
Adaptive algebraic level-set segmentation algorithm of financial time series is presented in this paper. The proposed algorithm is based on the algebraic one step-forward predictor with internal smoothing, which is used to identify a near optimal algebraic model. Particle swarm optimization algorithm is exploited for the detection of a base algebraic fragment of the time series. A combinatorial algorithm is used to detect intervals where predictions are lower than a predefined level. Moreover… CONTINUE READING
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