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Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data
We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time axis to delimit the trends. We first illustrate the...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7500655/ https://www.ncbi.nlm.nih.gov/pubmed/32946503 http://dx.doi.org/10.1371/journal.pone.0239494 |
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author | Yamashita Rios de Sousa, Arthur Matsuo Takayasu, Hideki Takayasu, Misako |
author_facet | Yamashita Rios de Sousa, Arthur Matsuo Takayasu, Hideki Takayasu, Misako |
author_sort | Yamashita Rios de Sousa, Arthur Matsuo |
collection | PubMed |
description | We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time axis to delimit the trends. We first illustrate the procedure in discrete random walks, deriving the exact probability distributions of trend lengths and trend amplitudes, and then apply it to segment and analyze the trends of U.S. dollar (USD)/Japanese yen (JPY) market time series from 2015 to 2018. Besides studying the statistics of trend lengths and amplitudes, we investigate the internal structure of the trends by grouping trends with similar shapes and selecting clusters of shapes that rarely occur in the randomized data. Particularly, we identify a set of down-trends presenting similar sharp appreciation of the yen that are associated with exceptional events such as the Brexit Referendum in 2016. |
format | Online Article Text |
id | pubmed-7500655 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-75006552020-09-24 Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data Yamashita Rios de Sousa, Arthur Matsuo Takayasu, Hideki Takayasu, Misako PLoS One Research Article We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time axis to delimit the trends. We first illustrate the procedure in discrete random walks, deriving the exact probability distributions of trend lengths and trend amplitudes, and then apply it to segment and analyze the trends of U.S. dollar (USD)/Japanese yen (JPY) market time series from 2015 to 2018. Besides studying the statistics of trend lengths and amplitudes, we investigate the internal structure of the trends by grouping trends with similar shapes and selecting clusters of shapes that rarely occur in the randomized data. Particularly, we identify a set of down-trends presenting similar sharp appreciation of the yen that are associated with exceptional events such as the Brexit Referendum in 2016. Public Library of Science 2020-09-18 /pmc/articles/PMC7500655/ /pubmed/32946503 http://dx.doi.org/10.1371/journal.pone.0239494 Text en © 2020 Yamashita Rios de Sousa et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Yamashita Rios de Sousa, Arthur Matsuo Takayasu, Hideki Takayasu, Misako Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title | Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title_full | Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title_fullStr | Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title_full_unstemmed | Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title_short | Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data |
title_sort | segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to usd/jpy foreign exchange market data |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7500655/ https://www.ncbi.nlm.nih.gov/pubmed/32946503 http://dx.doi.org/10.1371/journal.pone.0239494 |
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