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Added time-series section and Zumbach&Muller's paper on inhomogeneous operators

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Simon Thornington 2014-09-20 12:39:21 -07:00
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time_series/README.md Normal file
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Important papers relating to time-series data
Time-series data presents specific but very common problems for efficient
analysis, resulting in the need for columnar data stores and iterative
one-pass processing.
The included documents are:
* [Operators on Inhomogeneous Time Series] (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=208278) - Gilles O. Zumbach and Ulrich A. Müller
We present a toolbox to compute and extract information from
inhomogeneous (i.e. unequally spaced) time series. The toolbox
contains a large set of operators, mapping from the space of
inhomogeneous time series to itself.
These operators are computationally efficient (time and memory-wise)
and suitable for stochastic processes. This makes them attractive for
processing high-frequency data in finance and other fields. Using a
basic set of operators, we easily construct more powerful combined
operators which cover a wide set of typical applications.

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time_series/operators-on-inhomogeneous-time-series.pdf Normal file
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