Patterns in financial markets: Dynamic time warping

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Wavelet-based dynamic time warping

Dynamic Time Warping (DTW), a pattern matching technique traditionally used for restricted vocabulary speech recognition, is based on a temporal alignment of the input signal with the template models. The principal drawback of DTW is its high computational cost as the lengths of the signals increase. This paper shows extended results over our previously published conference paper, which introduces an optimized version of the DTW I hat is based on the Discrete Wavelet Transform (DWT). (C) 2008 Elsevier B.V. All rights reserved.

Effects of anxiety on decision making and visual search Behaviour in dynamic, time-constrained situations

Einleitung Aktuelle empirische Befunde deuten darauf hin, dass Sportler/innen durch Stress und erhöhte Angst eine reduzierte Effizienz bei der Entscheidungsfindung aufweisen (Wilson, 2008). Erklärt werden kann dieser Befund durch die Attentional-Control-Theory (ACT, Eysenck et al., 2007), die postuliert, dass aufmerksamkeitslenkende Prozesse unter Angst gestört werden. Um diese Annahme für komplexe Situationen im Sport zu prüfen, wurden Fußballspieler unter erhöhten und regulären Druckbedingungen verglichen. Methode Je 11 Experten und Nicht-Experten hatten aus der Perspektive des Abwehrspielers die Aufgabe, in zwei mal 24 Spielsituationen so schnell und korrekt wie möglich verbal anzugeben, welche Aktion der ballführende Spieler (in naher vs. ferner Spielsituation) nach Ausblendung der Szene ausführen wird. Während im ersten Block der Druck nicht erhöht wurde, wurden Druckbedingungen im zweiten Block u.a. durch eine Wettkampfsituation und „falscher“ Ergebnisrückmeldung gesteigert. Entscheidungs- und Blickverhalten (u.a. Anzahl Fixationen), Pupillengröße, Zustandsangst und „Mental Effort“ (Wilson, 2008) wurden erfasst. Neben Expertiseunterschieden wurde erwartet, dass erhöhte Angst die Entscheidungseffizienz sowie das Blickverhalten stört (ACT-Annahme), was mit 2 (Experten/Nicht-Experten) x 2 (nahe/ferne Spielsituation) x 2 (hohe/reguläre Druckbedingung) ANOVAs (? = .05) mit Messwiederholungen auf den letzten beiden Faktoren geprüft wurde. Ergebnisse Druckmanipulationen führten zu höherer Zustandsangst und größeren Pupillendurchmessern. Neben Expertiseunterschieden – Experten antworteten schneller, korrekter und zeigten ein situationsangepasstes visuelles Suchverhalten – wiesen beide Gruppen in Drucksituationen längere Antwortzeiten und höheren Mental Effort auf. Erhöhter Druck führte bei Experten zur Reduktion der Fixationsortwechsel für ferne Spielsituationen. Nicht-Experten differenzierten ihr Suchverhalten weder zwischen Bedingungen noch für Spielsituationen. Diskussion Die Resultate bestätigen die ACT-Annahme, dass Angst und Stress die sportliche Leistung durch längere Reaktionszeiten, höhere kognitive Anstrengung und ein teilweise ineffizientes visuelles Suchverhalten negativ beeinflusst. Eine gestörte Balance zwischen Top-Down und Bottom-Up-Prozessen könnte die Ursache sein (Eysenck et al., 2007). Literatur Eysenck, M. W., Derakshan, N., Santos, R., & Calvo, M. G. (2007). Anxiety and cognitive performance: Attentional control theory. Emotion, 7, 336–353. Wilson, M. (2008). From processing efficiency to attentional control: A mechanistic account of the anxiety-performance relationship. International Review of Sport and Exercise Psychology, 1, 184– 201. 2 Vorträge und Poster

Effects of Anxiety on Anticipation and Visual Search in Dynamic, Time-Constrained Situations

We tested the predictions of Attentional Control Theory (ACT) by examining how anxiety affects visual search strategies, performance efficiency, and performance effectiveness using a dynamic, temporal-constrained anticipation task. Higher and lower skilled players viewed soccer situations under 2 task constraints (near vs. far situation) and were tested under high (HA) and low (LA) anxiety conditions. Response accuracy (effectiveness) and response time, perceived mental effort, and eye-movements (all efficiency) were recorded. A significant increase in anxiety was evidenced by higher state anxiety ratings on the MRF-L scale. Increased anxiety led to decreased performance efficiency because response times and mental effort increased for both skill groups whereas response accuracy did not differ. Anxiety influenced search strategies, with higher skilled players showing a decrease in number of fixation locations for far situations under HA compared with LA condition when compared with lower skilled players. Findings provide support for ACT with anxiety impairing processing efficiency and, potentially, top-down attentional control across different task constraints.

Changes Measurement in Biological Signals Based on Dynamic Time Warping Procedure on the Example of Repolarization Part of HeartbeatCycle

Master thesis discusses the analysis of changes in biological signals on time based on dynamic time warping algorithm (DTW). Special attention is paid to problems of tiny changes analysis incomplex nonstationary biological signals. Electrocardiographic (ECG) signals are used as an example inthis study; in particular, repolarization segments of heart beat cycles. The aim of the research is studyingthe possibility of applying DTW algorithm for the analysis of small changes in the repolarization segments of heart beat cycles. The research has the following tasks:- Studying repolarization segments of heart beat cycles, andmethods of their analysis;- Studying DTW algorithm and its modifications, finding the most appropriate modification for analyzing changes in biological signals;- Development of methods for analyzing the warping path(output parameter of DTW algorithm).

Similarity Measurement of Biological Signals Using Dynamic Time Warping Algorithm

The problem of similarity measurement of biological signals is considered on this article. The dynamic time warping algorithm is used as a possible solution. A short overview of this algorithm and its modifications are given. Testing procedure for different modifications of DTW, which are based on artificial test signals, are presented.

Normal ECG Recognition for Express-Diagnostics Based on Scale-Space Representation and Dynamic Matching

A novel approach of normal ECG recognition based on scale-space signal representation is proposed. The approach utilizes curvature scale-space signal representation used to match visual objects shapes previously and dynamic programming algorithm for matching CSS representations of ECG signals. Extraction and matching processes are fast and experimental results show that the approach is quite robust for preliminary normal ECG recognition.

Automatic ECG Analysis for Preliminary and Detailed Diagnostics Based on Scale-space Representation

A novel approach of automatic ECG analysis based on scale-scale signal representation is proposed. The approach uses curvature scale-space representation to locate main ECG waveform limits and peaks and may be used to correct results of other ECG analysis techniques or independently. Moreover dynamic matching of ECG CSS representations provides robust preliminary recognition of ECG abnormalities which has been proven by experimental results.

Nonparametric estimation of time-dependent ROC curves conditional on a continuous covariate

The receiver-operating characteristic (ROC) curve is the most widely used measure for evaluating the performance of a diagnostic biomarker when predicting a binary disease outcome. The ROC curve displays the true positive rate (or sensitivity) and the false positive rate (or 1-specificity) for different cut-off values used to classify an individual as healthy or diseased. In time-to-event studies, however, the disease status (e.g. death or alive) of an individual is not a fixed characteristic, and it varies along the study. In such cases, when evaluating the performance of the biomarker, several issues should be taken into account: first, the time-dependent nature of the disease status; and second, the presence of incomplete data (e.g. censored data typically present in survival studies). Accordingly, to assess the discrimination power of continuous biomarkers for time-dependent disease outcomes, time-dependent extensions of true positive rate, false positive rate, and ROC curve have been recently proposed. In this work, we present new nonparametric estimators of the cumulative/dynamic time-dependent ROC curve that allow accounting for the possible modifying effect of current or past covariate measures on the discriminatory power of the biomarker. The proposed estimators can accommodate right-censored data, as well as covariate-dependent censoring. The behavior of the estimators proposed in this study will be explored through simulations and illustrated using data from a cohort of patients who suffered from acute coronary syndrome.

Statistical evaluation of the influence of writing postures on on-line signatures. Study of the impact of time.

The aim of this study is to investigate the influence of unusual writing positions on a person's signature, in comparison to a standard writing position. Ten writers were asked to sign their signature six times, in each of four different writing positions, including the standard one. In order to take into consideration the effect of the day-to-day variation, this same process was repeated over 12 sessions, giving a total of 288 signatures per subject. The signatures were collected simultaneously in an off-line and on-line acquisition mode, using an interactive tablet and a ballpoint pen. Unidimensional variables (height to width ratio; time with or without in air displacement) and time-dependent variables (pressure; X and Y coordinates; altitude and azimuth angles) were extracted from each signature. For the unidimensional variables, the position effect was assessed through ANOVA and Dunnett contrast tests. Concerning the time-dependent variables, the signatures were compared by using dynamic time warping, and the position effect was evaluated through classification by linear discriminant analysis. Both of these variables provided similar results: no general tendency regarding the position factor could be highlighted. The influence of the position factor varies according to the subject as well as the variable studied. The impact of the session factor was shown to cover the impact that could be ascribed to the writing position factor. Indeed, the day-to-day variation has a greater effect than the position factor on the studied signature variables. The results of this study suggest guidelines for best practice in the area of signature comparisons and demonstrate the importance of a signature collection procedure covering an adequate number of sampling sessions, with a sufficient number of samples per session.

Efficient subsequence alignment of time series

Zeitreihen sind allgegenwärtig. Die Erfassung und Verarbeitung kontinuierlich gemessener Daten ist in allen Bereichen der Naturwissenschaften, Medizin und Finanzwelt vertreten. Das enorme Anwachsen aufgezeichneter Datenmengen, sei es durch automatisierte Monitoring-Systeme oder integrierte Sensoren, bedarf außerordentlich schneller Algorithmen in Theorie und Praxis. Infolgedessen beschäftigt sich diese Arbeit mit der effizienten Berechnung von Teilsequenzalignments. Komplexe Algorithmen wie z.B. Anomaliedetektion, Motivfabfrage oder die unüberwachte Extraktion von prototypischen Bausteinen in Zeitreihen machen exzessiven Gebrauch von diesen Alignments. Darin begründet sich der Bedarf nach schnellen Implementierungen. Diese Arbeit untergliedert sich in drei Ansätze, die sich dieser Herausforderung widmen. Das umfasst vier Alignierungsalgorithmen und ihre Parallelisierung auf CUDA-fähiger Hardware, einen Algorithmus zur Segmentierung von Datenströmen und eine einheitliche Behandlung von Liegruppen-wertigen Zeitreihen.rnrnDer erste Beitrag ist eine vollständige CUDA-Portierung der UCR-Suite, die weltführende Implementierung von Teilsequenzalignierung. Das umfasst ein neues Berechnungsschema zur Ermittlung lokaler Alignierungsgüten unter Verwendung z-normierten euklidischen Abstands, welches auf jeder parallelen Hardware mit Unterstützung für schnelle Fouriertransformation einsetzbar ist. Des Weiteren geben wir eine SIMT-verträgliche Umsetzung der Lower-Bound-Kaskade der UCR-Suite zur effizienten Berechnung lokaler Alignierungsgüten unter Dynamic Time Warping an. Beide CUDA-Implementierungen ermöglichen eine um ein bis zwei Größenordnungen schnellere Berechnung als etablierte Methoden.rnrnAls zweites untersuchen wir zwei Linearzeit-Approximierungen für das elastische Alignment von Teilsequenzen. Auf der einen Seite behandeln wir ein SIMT-verträgliches Relaxierungschema für Greedy DTW und seine effiziente CUDA-Parallelisierung. Auf der anderen Seite führen wir ein neues lokales Abstandsmaß ein, den Gliding Elastic Match (GEM), welches mit der gleichen asymptotischen Zeitkomplexität wie Greedy DTW berechnet werden kann, jedoch eine vollständige Relaxierung der Penalty-Matrix bietet. Weitere Verbesserungen umfassen Invarianz gegen Trends auf der Messachse und uniforme Skalierung auf der Zeitachse. Des Weiteren wird eine Erweiterung von GEM zur Multi-Shape-Segmentierung diskutiert und auf Bewegungsdaten evaluiert. Beide CUDA-Parallelisierung verzeichnen Laufzeitverbesserungen um bis zu zwei Größenordnungen.rnrnDie Behandlung von Zeitreihen beschränkt sich in der Literatur in der Regel auf reellwertige Messdaten. Der dritte Beitrag umfasst eine einheitliche Methode zur Behandlung von Liegruppen-wertigen Zeitreihen. Darauf aufbauend werden Distanzmaße auf der Rotationsgruppe SO(3) und auf der euklidischen Gruppe SE(3) behandelt. Des Weiteren werden speichereffiziente Darstellungen und gruppenkompatible Erweiterungen elastischer Maße diskutiert.

Riconoscimento real-time di gesture tramite tecniche di machine learning

Il riconoscimento delle gesture è un tema di ricerca che sta acquisendo sempre più popolarità, specialmente negli ultimi anni, grazie ai progressi tecnologici dei dispositivi embedded e dei sensori. Lo scopo di questa tesi è quello di utilizzare alcune tecniche di machine learning per realizzare un sistema in grado di riconoscere e classificare in tempo reale i gesti delle mani, a partire dai segnali mioelettrici (EMG) prodotti dai muscoli. Inoltre, per consentire il riconoscimento di movimenti spaziali complessi, verranno elaborati anche segnali di tipo inerziale, provenienti da una Inertial Measurement Unit (IMU) provvista di accelerometro, giroscopio e magnetometro. La prima parte della tesi, oltre ad offrire una panoramica sui dispositivi wearable e sui sensori, si occuperà di analizzare alcune tecniche per la classificazione di sequenze temporali, evidenziandone vantaggi e svantaggi. In particolare, verranno considerati approcci basati su Dynamic Time Warping (DTW), Hidden Markov Models (HMM), e reti neurali ricorrenti (RNN) di tipo Long Short-Term Memory (LSTM), che rappresentano una delle ultime evoluzioni nel campo del deep learning. La seconda parte, invece, riguarderà il progetto vero e proprio. Verrà impiegato il dispositivo wearable Myo di Thalmic Labs come caso di studio, e saranno applicate nel dettaglio le tecniche basate su DTW e HMM per progettare e realizzare un framework in grado di eseguire il riconoscimento real-time di gesture. Il capitolo finale mostrerà i risultati ottenuti (fornendo anche un confronto tra le tecniche analizzate), sia per la classificazione di gesture isolate che per il riconoscimento in tempo reale.

Dynamic classifiers for neonatal brain monitoring

Brain injury due to lack of oxygen or impaired blood flow around the time of birth, may cause long term neurological dysfunction or death in severe cases. The treatments need to be initiated as soon as possible and tailored according to the nature of the injury to achieve best outcomes. The Electroencephalogram (EEG) currently provides the best insight into neurological activities. However, its interpretation presents formidable challenge for the neurophsiologists. Moreover, such expertise is not widely available particularly around the clock in a typical busy Neonatal Intensive Care Unit (NICU). Therefore, an automated computerized system for detecting and grading the severity of brain injuries could be of great help for medical staff to diagnose and then initiate on-time treatments. In this study, automated systems for detection of neonatal seizures and grading the severity of Hypoxic-Ischemic Encephalopathy (HIE) using EEG and Heart Rate (HR) signals are presented. It is well known that there is a lot of contextual and temporal information present in the EEG and HR signals if examined at longer time scale. The systems developed in the past, exploited this information either at very early stage of the system without any intelligent block or at very later stage where presence of such information is much reduced. This work has particularly focused on the development of a system that can incorporate the contextual information at the middle (classifier) level. This is achieved by using dynamic classifiers that are able to process the sequences of feature vectors rather than only one feature vector at a time.

People Detection and Tracking using Depth Camera

In this paper we present a method for real-time detection and tracking of people in video captured by a depth camera. For each object to be assessed, an ordered sequence of values that represents the distances between its center of mass to the boundary points is calculated. The recognition is based on the analysis of the total distance value between the above sequence and some pre-defined human poses, after apply the Dynamic Time Warping. This similarity approach showed robust results in people detection.