Similarity Analysis Based on Bose-Einstein Divergences for Financial Time Series

摘要: Similarity assessment between financial time series is one of problems where the proper methodological choice very important. The typical correlation approach can lead to misleading results. Often similarity measure opposite visual observations, expert’s knowledge and even a common sense. reasons that be associated with properties its adequateness for analyzed data, as well in terms aspects. In this article, we indicate disadvantages use assess propose an alternative solution based on divergence measures. particular, focus Bose-Einstein divergence. practical experiments conducted simulated real data confirmed our concept.