英文标题：
《Maximum Entropy approach to multivariate time series randomization》
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作者：
Riccardo Marcaccioli, Giacomo Livan
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最新提交年份：
2020
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英文摘要：
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis testing: the statistical properties of the empirical time series are tested against those expected under a suitable null hypothesis. This is a very challenging task in complex interacting systems, where statistical stability is often poor due to lack of stationarity and ergodicity. Here, we describe an unsupervised, data-driven framework to perform hypothesis testing in such situations. This consists of a statistical mechanical approach - analogous to the configuration model for networked systems - for ensembles of time series designed to preserve, on average, some of the statistical properties observed on an empirical set of time series. We showcase its possible applications with a case study on financial portfolio selection.
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中文摘要：
自然和社会多变量系统通常通过对驱动其动力学的可观测对象的一组同步和时间间隔测量来研究，即通过一组时间序列。通常，这是通过假设检验完成的：经验时间序列的统计特性是根据适当的零假设下的预期进行检验的。在复杂的交互系统中，这是一项非常具有挑战性的任务，由于缺乏平稳性和遍历性，统计稳定性通常很差。在这里，我们描述了一个无监督、数据驱动的框架来在这种情况下执行假设检验。这包括一种统计力学方法，类似于网络系统的配置模型，用于时间序列集合，旨在平均保留在经验时间序列集上观察到的一些统计特性。我们通过一个金融投资组合选择的案例来展示其可能的应用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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