Analysis of Financial Time Series Morphology with AMUSE Algorithm and Its Extensions
R. Szupiluka, T. Ząbkowski b and T. Soboń a
aWarsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland
bWarsaw University of Life Sciences, Nowoursynowska 166, 02-787 Warsaw, Poland
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The proposed article presents a new approach to analyze the relationships between financial instruments. We use blind signal separation methods to decompose time series into the core components. The components common to the various instruments provide broad set of characteristics to describe the internal morphology of the time series. In this research a modified and extended version: of AMUSE algorithm is used. The concept is presented based on real financial instruments.

DOI: 10.12693/APhysPolA.129.1018
PACS numbers: 05.45.Tp, 05.40.Ca, 07.05.Kf, 07.05.Mh