Let's say I have two time-series S1 and S2 where S1 looks like this:

Epoch timestamp |value
1492827582,      100
1492827782,      127
1492827982,      135
1492828082,      200
...              ...

and S2 looks like this:

Epoch timestamp |value
1492827133,      50
1492827333,      155
1492827533,      156
1492827933,      300
...              ...

What is the most straightforward method to produce some kind of similarity value? I am mainly interested in seeing how the growth is. Don't really care about the absolute values -- just want to have a sense of how similar the curve shapes are. Please note that the timestamps are slightly offset with a slightly different stepping but generally very close. I have heard about cross-correlation approaches but they seem like an overkill.

Thank you very much for reading this!


closed as off-topic by lehalle, LocalVolatility, Richard Hardy, msitt, amdopt Apr 24 '17 at 17:15

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  • 3
    $\begingroup$ I'm voting to close this question as off-topic because it is a question on timeseries, not in finance $\endgroup$ – lehalle Apr 22 '17 at 6:10
  • $\begingroup$ I'm voting to close this question as off-topic because it belongs on Cross Validated. $\endgroup$ – Richard Hardy Apr 22 '17 at 11:02

It looks like a good case to use Dynamic Time Warping

  • $\begingroup$ Sounds like a good solution to me! $\endgroup$ – 372 Apr 24 '17 at 0:14

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