Time series distances measures to analyze in-air signatures to authenticate users on mobile phones

Improving the security of mobile phones is one of the crucial points required to assure the personal information and the operations that can be performed from them. This article presents an authentication procedure consisting of verifying the identity of people by making a signature in the air while holding the mobile phone. Different temporal distance algorithms have been proposed and evaluated through a database of 50 people making their signatures in the air and 6 people trying to forge each of them by studying their records. Approaches based on DTW have obtained better EER results than those based on LCS (2.80% against 3.34%). Besides, different signal normalization methods have been evaluated not finding any with better EER results that when no normalization has carried out.

Detection and mapping of burnt areas from time series of MODIS-derived NDVI data in a Mediterranean region

Moderate resolution remote sensing data, as provided by MODIS, can be used to detect and map active or past wildfires from daily records of suitable combinations of reflectance bands. The objective of the present work was to develop and test simple algorithms and variations for automatic or semiautomatic detection of burnt areas from time series data of MODIS biweekly vegetation indices for a Mediterranean region. MODIS-derived NDVI 250m time series data for the Valencia region, East Spain, were subjected to a two-step process for the detection of candidate burnt areas, and the results compared with available fire event records from the Valencia Regional Government. For each pixel and date in the data series, a model was fitted to both the previous and posterior time series data. Combining drops between two consecutive points and 1-year average drops, we used discrepancies or jumps between the pre and post models to identify seed pixels, and then delimitated fire scars for each potential wildfire using an extension algorithm from the seed pixels. The resulting maps of the detected burnt areas showed a very good agreement with the perimeters registered in the database of fire records used as reference. Overall accuracies and indices of agreement were very high, and omission and commission errors were similar or lower than in previous studies that used automatic or semiautomatic fire scar detection based on remote sensing. This supports the effectiveness of the method for detecting and mapping burnt areas in the Mediterranean region.

Causality detection on US mutual fund movements using evolutionary subset time-series

In this paper we develop an evolutionary kernel-based time update algorithm to recursively estimate subset discrete lag models (including fullorder models) with a forgetting factor and a constant term, using the exactwindowed case. The algorithm applies to causality detection when the true relationship occurs with a continuous or a random delay. We then demonstrate the use of the proposed evolutionary algorithm to study the monthly mutual fund data, which come from the 'CRSP Survivor-bias free US Mutual Fund Database'. The results show that the NAV is an influential player on the international stage of global bond and stock markets.

(Table 1, page 641) Hf isotope time series for the uppermost part of a ferromanganese crust from the San Pablo ferro-manganese pavement

The Hf isotope composition of seawater does not match that expected from dissolution of bulk continental crust. This mismatch is generally considered to be due to retention of unradiogenic Hf in resistant zircons during incomplete weathering of continental crust. During periods of intense glacial weathering, zircons should break down more efficiently, resulting in the release of highly unradiogenic Hf to the oceans. We test this hypothesis by comparing Nd and Hf isotope time series obtained from NW Atlantic ferromanganese crusts. Both isotope systems show a decrease associated with the onset of northern hemisphere glaciation. The observed changes display distinct trajectories in epsilon Nd- epsilon Hf space, which differ from previously reported arrays of bulk terrestrial material and seawater. Such patterns are consistent with the release of highly unradiogenic Hf from very old zircons, facilitated by enhanced mechanical weathering.

Time series analysis of a Web search engine transaction log

In this paper, we use time series analysis to evaluate predictive scenarios using search engine transactional logs. Our goal is to develop models for the analysis of searchers’ behaviors over time and investigate if time series analysis is a valid method for predicting relationships between searcher actions. Time series analysis is a method often used to understand the underlying characteristics of temporal data in order to make forecasts. In this study, we used a Web search engine transactional log and time series analysis to investigate users’ actions. We conducted our analysis in two phases. In the initial phase, we employed a basic analysis and found that 10% of searchers clicked on sponsored links. However, from 22:00 to 24:00, searchers almost exclusively clicked on the organic links, with almost no clicks on sponsored links. In the second and more extensive phase, we used a one-step prediction time series analysis method along with a transfer function method. The period rarely affects navigational and transactional queries, while rates for transactional queries vary during different periods. Our results show that the average length of a searcher session is approximately 2.9 interactions and that this average is consistent across time periods. Most importantly, our findings shows that searchers who submit the shortest queries (i.e., in number of terms) click on highest ranked results. We discuss implications, including predictive value, and future research.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.