correlating burst events on streaming stock market data
DESCRIPTION
Correlating burst events on streaming stock market data. Presenter : Shu-Ya Li Authors : Michail Vlachos, Kun-Lung Wu, Shyh-Kwei Chen, Philip S. Yu. DMKD, 2008. Outline. Motivation Objective Methodology Burst detection Index structure Experiments and Results - PowerPoint PPT PresentationTRANSCRIPT
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Intelligent Database Systems Lab
國立雲林科技大學National Yunlin University of Science and Technology
Correlating burst events on streaming stock market data
Presenter : Shu-Ya Li
Authors : Michail Vlachos, Kun-Lung Wu,
Shyh-Kwei Chen, Philip S. Yu
DMKD, 2008
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2Intelligent Database Systems Lab
N.Y.U.S.T.
I. M.Outline
Motivation
Objective
Methodology
Burst detection
Index structure
Experiments and Results
Conclusion
Personal Comments
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3Intelligent Database Systems Lab
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I. M.Motivation
People need to make decisions about financial.
‘Burstiness’ suggests more events of importance are happening within the same time frame.
The identification of bursts can provide useful insights about an imminent change in the monitoring quantity.
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4Intelligent Database Systems Lab
N.Y.U.S.T.
I. M.Objectives
The effective burst detection. to do the right thing.
The efficient memory-based index. to do the thing right.
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5Intelligent Database Systems Lab
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I. M.Methodology - Overview
Burst detection Index structure
BD q∩b
Q = {q1, . . . ql}
Bs = {b1, . . . , bk}
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6Intelligent Database Systems Lab
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I. M.Before Methodology …
Assuming a Gaussian data distribution τ=μ+3σ
ττ
Outliers, Noise…
150cm<身高 <170cm
身高 >200cm
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7Intelligent Database Systems Lab
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I. M.Methodology - Burst detection
If si > τ, then time i is marked as a burst.
In this work we use an exponential model to describe the shape of the distribution
τ
τ
τ
x
Burst
假設 μ=10
P = 0.0004 x = 78.24P = 0.9 x = 1.05
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8Intelligent Database Systems Lab
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I. M.
Building a CEI-Overlap index Burst intervals → Containment-encoded-intervals (CEI’s)
Insert a burst interval
Methodology - Index structure
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9Intelligent Database Systems Lab
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I. M.Methodology - Index structure
Identification of overlapping burst regions
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10Intelligent Database Systems Lab
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I. M.Experiments
Meaningfulness of results
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11Intelligent Database Systems Lab
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I. M.Experiments
The B+ tree insertion time is linear to the number of objects, while the CEI-index exhibits constant insertion time.
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12Intelligent Database Systems Lab
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I. M.Experiments
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13Intelligent Database Systems Lab
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I. M.Conclusion
We have presented a complete framework for efficient correlation of bursts.
The effectiveness of our scheme is attributed to the effective burst detection
the efficient memory-based index.
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14Intelligent Database Systems Lab
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I. M.Personal Comments
Advantage Many examples
Drawback …
Application Outlier detection