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Correlating burst events on streaming stock market data. Presenter : Shu-Ya Li Authors : Michail Vlachos, Kun-Lung Wu, Shyh-Kwei Chen, Philip S. Yu. DMKD, 2008. Outline. Motivation Objective Methodology Burst detection Index structure Experiments and Results - PowerPoint PPT Presentation
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Intelligent Database Systems Lab
國立雲林科技大學National Yunlin University of Science and Technology
Correlating burst events on streaming stock market data
Presenter : Shu-Ya Li
Authors : Michail Vlachos, Kun-Lung Wu,
Shyh-Kwei Chen, Philip S. Yu
DMKD, 2008
2Intelligent Database Systems Lab
N.Y.U.S.T.
I. M.Outline
Motivation
Objective
Methodology
Burst detection
Index structure
Experiments and Results
Conclusion
Personal Comments
3Intelligent Database Systems Lab
N.Y.U.S.T.
I. M.Motivation
People need to make decisions about financial.
‘Burstiness’ suggests more events of importance are happening within the same time frame.
The identification of bursts can provide useful insights about an imminent change in the monitoring quantity.
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I. M.Objectives
The effective burst detection. to do the right thing.
The efficient memory-based index. to do the thing right.
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I. M.Methodology - Overview
Burst detection Index structure
BD q∩b
Q = {q1, . . . ql}
Bs = {b1, . . . , bk}
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I. M.Before Methodology …
Assuming a Gaussian data distribution τ=μ+3σ
ττ
Outliers, Noise…
150cm<身高 <170cm
身高 >200cm
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I. M.Methodology - Burst detection
If si > τ, then time i is marked as a burst.
In this work we use an exponential model to describe the shape of the distribution
τ
τ
τ
x
Burst
假設 μ=10
P = 0.0004 x = 78.24P = 0.9 x = 1.05
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I. M.
Building a CEI-Overlap index Burst intervals → Containment-encoded-intervals (CEI’s)
Insert a burst interval
Methodology - Index structure
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I. M.Methodology - Index structure
Identification of overlapping burst regions
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I. M.Experiments
Meaningfulness of results
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I. M.Experiments
The B+ tree insertion time is linear to the number of objects, while the CEI-index exhibits constant insertion time.
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I. M.Experiments
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I. M.Conclusion
We have presented a complete framework for efficient correlation of bursts.
The effectiveness of our scheme is attributed to the effective burst detection
the efficient memory-based index.
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I. M.Personal Comments
Advantage Many examples
Drawback …
Application Outlier detection