Time Series

Time Series API is a professional C++ class library for simulating (backtesting) and deploying financial trading strategies as well as general purpose time series modelling. The library is a stand-alone time series engine that can be extended via a component object model. Models are defined...

Mackey-Glass Time Series Forecasting using Wang-Mendel Method

There are three methods (1, 2 & 3 [Back-propagation]) for forecasting a time series. Here is a collection of MATLAB programming, screen shorts, Fig files giving results. Follow comments in the files to run programs


Platforms: Matlab

Use this function to plot several time series aligned beneath each other with shaded blocks highlighting important sections.


Platforms: Matlab

Zaitun Time Series is software designed for statistical analysis of time series data. It provides easy way for time series modeling and forecasting. Zaitun Time Series provides several statistics and neural networks models, and graphical tools that will make your work on time series analysis...


Platforms: Windows

Only in very simple situations can we describe the correlation between two time series as a single number. Often it varies both as a function of time, and of wavelength. Datasets may be uncorrelated on short timescales due to noise, but strongly correlated on larger wavelengths (eg annual).This...


Platforms: Matlab

This a very simple function that produces a condensed, approximate version of the time-series signal y, with each group of n adjacent points in y replaced by its average. You can use this to condense over-sampled signals so that subsequent processing will be easier and faster. Or you can use it...


Platforms: Matlab

Measures of Analysis of Time Series (MATS) toolkit computes a number of different measures of analysis of scalar time series (linear, nonlinear and other statistical measures). It also contains pre-processing tools (transformations and standardizations), data splitting facility, resampled data...


Platforms: Matlab

When drawing financial time series from various markets, one usually needs to make some adjustments before evaluating the series. One of the major concerns is that due to different national holidays or working days across countries, the dates happen to be not synchronized. Clearly this could make...


Platforms: Matlab

Semi variance method and scaled windowed variance method for fractal time series analysis.Referernce: Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series Physica A: Statistical and Theoretical PhysicsVolume 241, Issues 3-4, 15 July 1997, Pages 606-626


Platforms: Matlab

These algorithms are an implementation of the iterative amplitude adapted Fourier Transform method of Schreiber and Schmitz to make surrogate time series. These surrogate time series or fields were made to have the Power spectrum and the amplitude distribution (or PDF) from a measurement, but...


Platforms: Matlab

The time series viewer is a tool for interactive exploration of time series data. It was designed with flight test data in mind, but could be used for other applications.This viewer allows you to interactively visualize time series data in your MATLAB workspace. It provides limited analysis...


Platforms: Matlab

The zip files contains four files for date management on a time series created based on general steps. It was a quite useful in my PhD for time series. The scripts allow for finding a final date in a time series knowing only the initial date and the number of days. Also for creating a list of...


Platforms: Matlab

4 files are included in the package:(1) fs01.m - the 1st-order local linear approximation (LLA) very similar to algorithm by Farmer and Sidorowich (1987). Uses constrained linear least squares (lsqlin) and(2) ts1.m - to reconstruct the vectors of the state space.(3) Example.m - runs fs01 and ts1...


Platforms: Matlab

Harbinger is a high performance time series data forecaster and benchmarking application for Windows that utilizes neural network technology to model the behavior of any univariate time series. It is highly optimized to achieve maximum computing performance from modern PC hardware, and includes...


Platforms: Windows

Cricket project is a high performance, extremely flexible system for monitoring trends in time-series data. Cricket was expressly developed to help network managers visualize and understand the traffic on their networks, but it can be used all kinds of other jobs, as well. Cricket has two...


Platforms: *nix

NumXL is a Microsoft Excel add-in for econometrics and data analysis, designed to make finance modeling and time series easier to manage. You can perform all of your data work right in Excel. NumXL allows you to apply advanced econometric analysis quickly and easily via an intuitive user...


Platforms: Windows, Windows 8, Windows 7, Windows Server

The CatMV program is a realization of the "Caterpillar"-SSA method for analysis of time series, which may contain missing values. The implemented algorithms result in extraction of additive components of time series such as trends and periodic components, with simultaneous filling in the missing...


Platforms: Windows

Time series and frequency spectrum analyzer optimized for handling of very long signals. It features: * Recording and playback with arbitrary real number sampling frequency with a real time sample rate converter of user configurable quality. * Real-time envelope and energy computation...


Platforms: Windows, Windows 8, Windows 7, Windows Server

Gait-CAD is a handy Matlab toolbox designed to assist you with the visualization and analysis of time series and features with a special focus to data mining problems including classification, regression, and clustering.


Platforms: Windows