empirical time series modeling via the algorithm LPTime. We demonstrate the effectiveness of our theoretical framework using … daily S&P 500 return data between 2 January 1963 and 31 December 2009. Our proposed LPTime algorithm systematically …

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data … outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset … of a cluster that represents a different segment of the market. We set up a framework of possible algorithm parameter …