Volatility aggregation of financial time sequence based on self-similarity

被引：0
|
作者：
Han, Cheng [1 ]
机构：
[1] College of International Business, Yuexiu University of Foreign Languages, Shaoxing, Zhejiang,312000, China
来源：
Boletin Tecnico/Technical Bulletin | 2017年 / 55卷 / 17期
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学科分类号：
摘要：
Financial time sequence is with self-similarity and volatility aggregation. Based on the self-similarity, constructing the volatility aggregation model, can provide support for the study of financial time sequence in different periods. In this paper, we introduce the volatility of financial time sequence briefly. Based on this, we construct a self-similar aggregation model and use online time sequence segmentation method to segment the financial time sequence. By fitting the experimental results, we prove that the effectiveness of this method.
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页码：282 / 287
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