An econophysics approach to the Portuguese Stock Index—PSI-20

Matos, J. A. O.; Gama, S.; Ruskin, Heather J.; Duarte, Júlio César

doi:10.1016/j.physa.2004.05.066

Cited by 14 publications

(16 citation statements)

References 10 publications

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“…The Maximum Overlap Discrete Wavelet Transform (MODWT) [25][26][27][28], is a linear filter that transforms a series into coefficients related to variations over a set of scales. It produces a set of time-dependent wavelet and scaling coefficients with basis vectors associated with a location t and a unitless scale τ j =2 j−1 for each decomposition level j=1,...,J 0 .…”

Section: Wavelet Multiscale Analysismentioning

confidence: 99%

Multiscaled Cross-Correlation Dynamics on SenseCam Lifelogged Images

Crane

Ruskin

et al. 2013

Lecture Notes in Computer Science

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Abstract. In this paper, we introduce and evaluate a novel approach, namely the use of the cross correlation matrix and Maximum Overlap Discrete Wavelet Transform (MODWT) to analyse SenseCam lifelog data streams. SenseCam is a device that can automatically record images and other data from the wearer's whole day. It is a significant challenge to deconstruct a sizeable collection of images into meaningful events for users. The cross-correlation matrix was used, to characterise dynamical changes in non-stationary multivariate SenseCam images. MODWT was then applied to equal-time Correlation Matrices over different time scales and used to explore the granularity of the largest Eigenvalue and changes, in the ratio of the sub-dominant Eigenvalue spectrum dynamics, over sliding time windows. By examination of the eigenspectrum, we show that these approaches can identify "Distinct Significant Events" for the wearers. The dynamics of the Eigenvalue spectrum across multiple scales provide useful insight on details of major events in SenseCam logged images.

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Section: Wavelet Multiscale Analysismentioning

confidence: 99%

Multiscaled Cross-Correlation Dynamics on SenseCam Lifelogged Images

Crane

Ruskin

et al. 2013

Lecture Notes in Computer Science

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“…We have expanded the scope of previous work on the PSI-20 (Portuguese Standard Index), since results there [7] seemed to provide a basis for a wider ranging study of coherence and entropy.…”

Section: Introductionmentioning

confidence: 99%

Time and scale Hurst exponent analysis for financial markets

Matos

Gama

Ruskin

et al. 2008

Physica A: Statistical Mechanics and its Applications

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“…The Maximum Overlap Discrete Wavelet Transform (MODWT) [15][16][17][18], is a linear filter that transforms a series into coefficients related to variations over a set of scales. It produces a set of time-dependent wavelet and scaling coefficients with basis vectors associated with a location t and a unitless scale τ j =2 j−1 for each decomposition level j=1,...,J 0 .…”

Section: Wavelet Multiscale Analysismentioning

confidence: 99%

Visual Experience for Recognising Human Activities

Crane

Ruskin

2013

Communications in Computer and Information Science

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Abstract. Technologies for Ambient Assisted Living (AAL) combine new Information and Communication Technologies (ICT) to improve and increase the quality of life of the elderly. The SenseCam visual lifelogging device is now used not only to support memory recall, but also by research groups in other fields in order to investigate human lifestyle. Recent and continuing work in Dublin City University's SCI-SYM centre has been an application and evaluation of a novel approach, namely use of the cross correlation matrix and Maximum Overlap Discrete Wavelet Transform (MODWT) to analyse SenseCam lifelog data streams. By examination of the eigenspectrum, we show that these approaches enable detection of key sources or major events in the time SenseCam recording, with MODWT also providing useful insight on details of major events. In this paper, we analyse the data collected from the EvAAL (Evaluating AAL System Through Competitive Benchmarking) competition. The results confirmed our previous findings [1,2]. We believe using this highlight key episodes to identify the boundaries can be used to develop automatic classifiers for visual lifelogs to infer different lifestyle characteristics.

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An econophysics approach to the Portuguese Stock Index—PSI-20

Cited by 14 publications

References 10 publications

Multiscaled Cross-Correlation Dynamics on SenseCam Lifelogged Images

Multiscaled Cross-Correlation Dynamics on SenseCam Lifelogged Images

Time and scale Hurst exponent analysis for financial markets

Visual Experience for Recognising Human Activities

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