Developing new mathematical method for search of the time series periodicity with deletions and insertions

被引：0

作者：

Korotkov, E. V. ^{[1
,2
]}

Korotkova, M. A. ^{[1
]}

机构：

[1] Natl Res Nucl Univ MEPhI, Moscow Engn Phys Inst, Kashirskoe Highway 31, Moscow 115409, Russia

[2] Russian Acad Sci, Res Ctr Biotechnol, Inst Bioengn, Leninsky Ave 33,Bld 2, Moscow 119071, Russia

来源：

V INTERNATIONAL CONFERENCE ON PROBLEMS OF MATHEMATICAL AND THEORETICAL PHYSICS AND MATHEMATICAL MODELLING | 2017年 / 788卷

关键词：

INFORMATION; PATTERNS; FOURIER;

D O I：

10.1088/1742-6596/788/1/012019

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The purpose of this study was to detect latent periodicity in the presence of deletions or insertions in the analyzed data, when the points of deletions or insertions are unknown. A mathematical method was developed to search for periodicity in the numerical series, using dynamic programming and random matrices. The developed method was applied to search for periodicity in the Euro/Dollar (Eu/$) exchange rate, since 2001. The presence of periodicity within the period length equal to 24 h in the analyzed financial series was shown. Periodicity can be detected only with insertions and deletions. The results of this study show that periodicity phase shifts, depend on the observation time. The reasons for the existence of the periodicity in the financial ranks are discussed.

引用

页数：6