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Tracking the Evolution of Financial Time Series Clusters

Letizia Tanca 1 Davide Azzalini 1 Fabio Azzalini 1 Mirjana Mazuran 2 
2 CEDAR - Rich Data Analytics at Cloud Scale
LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau], Inria Saclay - Ile de France
Abstract : Nowadays, a huge amount of applications exist that natively adopt a data-streaming model to represent highly dynamic phenomena. A challenging application is constituted by data from the stock market, where the stock prices are naturally modeled as data streams that fluctuate very much and remain meaningful only for short amounts of time. In this paper we present a technique to track evolving clusters of financial time series, with the aim of constructing reliable models for this highly dynamic application. In our technique the clustering over a set of time series is iterated over time through sliding windows and, at each iteration, the differences between the current clustering and the previous one are studied to determine those changes that are "significant" with respect to the application. For example, in the financial domain, if a company that has belonged to the same cluster for a certain amount of time moves to another cluster, this may be a signal of a significant change in its economical or financial situation.
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Submitted on : Tuesday, July 23, 2019 - 4:40:10 PM
Last modification on : Friday, February 4, 2022 - 3:09:32 AM


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  • HAL Id : hal-02191810, version 1


Letizia Tanca, Davide Azzalini, Fabio Azzalini, Mirjana Mazuran. Tracking the Evolution of Financial Time Series Clusters. DSMM 2019 - 5th Workshop on Data Science for Macro-modeling with Financial and Economic Datasets, Jun 2019, Amsterdam, Netherlands. ⟨hal-02191810⟩



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