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Comparison of Time Series via Classic and Temporal Protoforms of Linguistic Summaries: An Application to Mutual Funds and Their Benchmarks

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Combining Soft Computing and Statistical Methods in Data Analysis

Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 77))

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Abstract

We present a new approach to the evaluation of similarity of time series that are characterized by linguistic summaries. We consider so-called temporal data summaries, i.e. novel linguistic summaries that explicitly include a temporal aspect. We consider the case of a mutual (investment) fund and its underlying benchmark(s), and the new comparison method is based not on the comparison of the consecutive values or segments of the fund and its benchmark but on the comparison of classic and temporal linguistic summaries (i.e. based on a classic and temporal protoform) best describing their past behavior.

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Authors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, 01-447, Warsaw, Poland

    Janusz Kacprzyk & Anna Wilbik

Authors
  1. Janusz Kacprzyk
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  2. Anna Wilbik
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Editor information

Editors and Affiliations

  1. Research Unit on Intelligent Data Analysis and Graphical Models, European Centre for Soft Computing Edificio Científico-Tecnológico. 3a Planta, C/ Gonzalo Gutiérrez Quirós s/n, 33600, Mieres, Spain

    Christian Borgelt , Gil González-Rodríguez  & Wolfgang Trutschnig ,  & 

  2. Departamento de Estadística e I.O. y D.M., Universidad de Oviedo, Facultad de Ciencias, C/ Calvo Sotelo s/n, 33007, Oviedo, Spain

    María Asunción Lubiano

  3. Departamento de Estadística e I.O. yD.M., Universidad de Oviedo, Facultad de Ciencias, C/ Calvo Sotelo s/n, 33007, Oviedo, Spain

    María Ángeles Gil

  4. Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447, Warsaw, Poland

    Przemysław Grzegorzewski

  5. Systems Research Institute, Polish Academy of Science, Newelska 6, 01-447, Warsaw, Poland

    Olgierd Hryniewicz

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Kacprzyk, J., Wilbik, A. (2010). Comparison of Time Series via Classic and Temporal Protoforms of Linguistic Summaries: An Application to Mutual Funds and Their Benchmarks. In: Borgelt, C., et al. Combining Soft Computing and Statistical Methods in Data Analysis. Advances in Intelligent and Soft Computing, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14746-3_46

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  • DOI: https://doi.org/10.1007/978-3-642-14746-3_46

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-14745-6

  • Online ISBN: 978-3-642-14746-3

  • eBook Packages: EngineeringEngineering (R0)

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