Abstract

http://ssrn.com/abstract=208278
 
 

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Operators on Inhomogeneous Time Series


Gilles O. Zumbach


Independent

Ulrich A. Müller


Olsen & Associates

February 1, 2000

Olsen & Associates Working Paper No. 324

Abstract:     
We present a toolbox to compute and extract information from inhomogeneous (i.e. unequally spaced) time series. The toolbox contains a large set of operators, mapping from the space of
inhomogeneous time series to itself.

These operators are computationally efficient (time and memory-wise) and suitable for stochastic processes. This makes them attractive for processing high-frequency data in finance and other fields. Using a basic set of operators, we easily construct more powerful combined operators which cover a wide set of typical applications.

The operators are classified in macroscopic operators (that have a limit value when the sampling frequency goes to infinity) and microscopic operators (that strongly depend on the actual sampling). For inhomogeneous data, macroscopic operators are more robust and more important. Examples of macroscopic operators are (exponential) moving averages, differentials, derivatives, moving volatilities, etc ...

Number of Pages in PDF File: 33

JEL Classification: C14, C52, C63, C80, G10

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Date posted: March 21, 2000  

Suggested Citation

Zumbach, Gilles O. and Müller, Ulrich A., Operators on Inhomogeneous Time Series (February 1, 2000). Olsen & Associates Working Paper No. 324. Available at SSRN: http://ssrn.com/abstract=208278 or http://dx.doi.org/10.2139/ssrn.208278

Contact Information

Gilles Zumbach
Independent ( email )
No Address Available
United States
Ulrich A. Müller (Contact Author)
Olsen & Associates ( email )
Seefeldstrasse 233
CH-8008 Zurich
Switzerland
+41 (1) 386 48 16 (Phone)
+41 (1) 422 22 82 (Fax)
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