Segmentation analysis on a multivariate time series of the foreign exchange rates

2012/05/02 by Akihiro Sato, Aki-Hiro Sato, Sato, Aki-Hiro
Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #physics.data-an #q-fin.ST

paper · pdf · doi:10.48550/arxiv.1205.0336

5 pages 3 figures, submitted to the 2nd International Conference on Management, Manufacturing and Materials Engineering (ICMMM2012)

arxiv created 2012/05/02 · openalex publication_date 2012/05/02 · arxiv updated 2012/05/03 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 currency pairs consisting of 12 currencies for the last decade (January 3, 2001 to December 30, 2011) are analyzed using the proposed method. The proposed method can detect several important periods related to the significant affairs of the international economy.

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