Compositional segmentation of time series in the financial markets
作者：
Highlights：
• An entropic segmentation algorithm is introduced and applied to the financial series.
• We study the segments from the view of segmentation position and segment length.
• We reveal some important and interesting information hidden in the time series.
• We focus on the intrinsic properties for each segment in the financial time series.
• The results on the time irreversibility and DFA support and verify the segmentation.
摘要
•An entropic segmentation algorithm is introduced and applied to the financial series.•We study the segments from the view of segmentation position and segment length.•We reveal some important and interesting information hidden in the time series.•We focus on the intrinsic properties for each segment in the financial time series.•The results on the time irreversibility and DFA support and verify the segmentation.
论文关键词：Entropic segmentation,Segments,Time irreversibility,Detrended fluctuation analysis (DFA),Financial markets
论文评审过程：Received 20 April 2015, Revised 11 June 2015, Accepted 15 June 2015, Available online 11 July 2015, Version of Record 11 July 2015.
论文官网地址：https://doi.org/10.1016/j.amc.2015.06.061
