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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!

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

  • This question does not appear to be about quantitative finance within the scope defined in the help center.
If this question can be reworded to fit the rules in the help center, please edit the question.

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    $\begingroup$ 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
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It looks like a good case to use Dynamic Time Warping

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

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