• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Vitaly Silchev
Discovery of Dramatic Changes in Characteristics of Financial Data Streams
Big Data Systems
(Master’s programme)
8
2016
This paper considers the data streams generated by financial markets, or, in other words, high frequency financial time series. The main goal is to estimate the correlation dimension to determine, whether the observed time series is generated by a chaotic dynamical system or not and propose a method for discovery of singularity points that indicate of significant parameter changes in the time series.

The correlation dimension was calculated using Grassberger-Procaccia Algorithm; for singularity points detection the Wavelet-Transform Modulus Maxima method was used.

The results show, that all observed time series, including EUR/USD exchange rates and HP Inc. stock prices have clearly defined chaotic dynamical nature and correlation dimension close to 4.6

The results of WTMM method also agree with experimental data.

The methods and algorithms proposed in this work are designed for computational clusters (e.g. Apache Hadoop) and support data parallelism, what is the suggestion for the future research and development.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses