By varying epsilon and tau, and applying the method to the one-second time series data of the US dollar-Japanese yen exchange rate between 2015 and 2018, the authors examined a group of 28 highly significant downtrends and found that 17 of them can be attributed to known events.
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Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data.
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