Comparison of time series via classic and temporal protoforms of linguistic summaries: an application to mutual funds and their benchmarks

J. Kacprzyk, A. Wilbik

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

3 Citations (Scopus)

Abstract

We present a new approach to the evaluation of similarity of time series that are characterized by linguistic summaries. We consider so-called temporal data summaries, i.e. novel linguistic summaries that explicitly include a temporal aspect. We consider the case of a mutual (investment) fund and its underlying benchmark(s), and the new comparison method is based not on the comparison of the consecutive values or segments of the fund and its benchmark but on the comparison of classic and temporal linguistic summaries (i.e. based on a classic and temporal protoform) best describing their past behavior.
Original languageEnglish
Title of host publicationCombining soft computing and statistical methods in data analysis
EditorsC. Borgelt, G. Gonzalez-Rodriguez, W. Trutschnig, M.A. Lubiano, M.A. Gil, P. Grzegorzewski, O. Hryniewicz
Place of PublicationBerlin
PublisherSpringer
Chapter46
Pages369-377
Number of pages9
ISBN (Electronic)978-3-642-14746-3
ISBN (Print)978-3-642-14745-6
DOIs
Publication statusPublished - 2010
Externally publishedYes

Publication series

NameAdvances in Intelligent and Soft Computing (AINSC)
Volume77
ISSN (Print)1867-5662

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