Financial time series difference analysis based on symbolic time series method

摘要

Symbolic time series analysis is introduced into the study of financial markets. On the basis of symbolizing time series and coding the symbolic time series, the characteristics of symbolic series are described by symbolic series histogram. The method of quantifying the difference of symbolic series by the Euclidean norm, χ2 statistics and relative entropy so as to measure the difference between financial time series is proposed. The difference between the daily return series of Shanghai composite index and Shenzhen component index before and after June 1 2008 is analyzed to prove the effectiveness and feasibility of the method proposed.