Piecewise Linear Representation of Finance Time Series: Quantum Mechanical Tool |
| P. Cruza, H. Cruzb
aU-tad, Centro Universitario de Tecnologia y Arte Digital, Universidad Camilo Jose Cela, Complejo Europa Empresarial, Edificio Madrid, 28290 Las Rozas, Madrid, Spain bDepartamento de Fisica and IUdEA, Universidad de La Laguna, Avda. Astrofisico Francisco Sanchez, s/n, 38204 La Laguna, Tenerife, Spain |
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| In this work, a piecewise linear representation of economic time series is presented. The representation is based on calculating local maxima and minima in time series. Then, we study the localization properties of the 1D tight-binding equation, where the on-site potential is replaced by a piecewise linear function. The piecewise linear representation is derived from economic time series databases. We carry out numerical work involving direct diagonalization to study eigenvalues of the system. This numerical scheme is applied to different segments of the time series. It is shown that this mathematical tool could be used as a moving indicator to study finance charts. |
DOI:10.12693/APhysPolA.138.21 topics: Tight-binding methods (atomic physics), Econophysics, Quantum mechanics |