Scaling Exponents of Time Series Data: A Machine Learning Approach. 2023

Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
Information and Software Engineering Group, TU Wien, Favoritenstrasse 9-11/194, 1040 Vienna, Austria.

In this study, we present a novel approach to estimating the Hurst exponent of time series data using a variety of machine learning algorithms. The Hurst exponent is a crucial parameter in characterizing long-range dependence in time series, and traditional methods such as Rescaled Range (R/S) analysis and Detrended Fluctuation Analysis (DFA) have been widely used for its estimation. However, these methods have certain limitations, which we sought to address by modifying the R/S approach to distinguish between fractional Lévy and fractional Brownian motion, and by demonstrating the inadequacy of DFA and similar methods for data that resembles fractional Lévy motion. This inspired us to utilize machine learning techniques to improve the estimation process. In an unprecedented step, we train various machine learning models, including LightGBM, MLP, and AdaBoost, on synthetic data generated from random walks, namely fractional Brownian motion and fractional Lévy motion, where the ground truth Hurst exponent is known. This means that we can initialize and create these stochastic processes with a scaling Hurst/scaling exponent, which is then used as the ground truth for training. Furthermore, we perform the continuous estimation of the scaling exponent directly from the time series, without resorting to the calculation of the power spectrum or other sophisticated preprocessing steps, as done in past approaches. Our experiments reveal that the machine learning-based estimators outperform traditional R/S analysis and DFA methods in estimating the Hurst exponent, particularly for data akin to fractional Lévy motion. Validating our approach on real-world financial data, we observe a divergence between the estimated Hurst/scaling exponents and results reported in the literature. Nevertheless, the confirmation provided by known ground truths reinforces the superiority of our approach in terms of accuracy. This work highlights the potential of machine learning algorithms for accurately estimating the Hurst exponent, paving new paths for time series analysis. By marrying traditional finance methods with the capabilities of machine learning, our study provides a novel contribution towards the future of time series data analysis.

UI MeSH Term Description Entries

Related Publications

Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
January 2022, Applied intelligence (Dordrecht, Netherlands),
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
March 2009, Physical review. E, Statistical, nonlinear, and soft matter physics,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
January 2018, NPJ systems biology and applications,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
January 1995, Chaos (Woodbury, N.Y.),
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
December 1986, Physical review. A, General physics,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
November 2021, NPJ Parkinson's disease,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
July 2020, Neural computing & applications,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
November 2006, Physical review. E, Statistical, nonlinear, and soft matter physics,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
August 1996, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics,
Sebastian Raubitzek, and Luiza Corpaci, and Rebecca Hofer, and Kevin Mallinger
November 2022, Environmental science and pollution research international,
Copied contents to your clipboard!