diff --git a/time_series/README.md b/time_series/README.md new file mode 100644 index 0000000..632043c --- /dev/null +++ b/time_series/README.md @@ -0,0 +1,23 @@ +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: + +* :scroll: [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. + + + diff --git a/time_series/operators-on-inhomogeneous-time-series.pdf b/time_series/operators-on-inhomogeneous-time-series.pdf new file mode 100644 index 0000000..188f0a6 Binary files /dev/null and b/time_series/operators-on-inhomogeneous-time-series.pdf differ