Financial Time Series: Market Analysis Techniques Based on Matrix Profiles †

Abstract

The Matrix Profile (MP) algorithm has the potential to revolutionise many areas of data analysis. In this article, several applications to financial time series are examined. Several approaches for the identification of similar behaviour patterns (or motifs) are proposed, illustrated, and the results discussed. While the MP is primarily designed for single series analysis, it can also be applied to multi-variate financial series. It still permits the initial identification of time periods with indicatively similar behaviour across individual market sectors and indexes, together with the assessment of wider applications, such as general market behaviour in times of financial crisis. In short, the MP algorithm offers considerable potential for detailed analysis, not only in terms of motif identification in financial time series, but also in terms of exploring the nature of underlying events.