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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:
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📜 [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.