Advertisement

Using Sound to Identify Correlations in Market Data

  • David Worrall
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5954)

Abstract

Despite intensive study, a comprehensive understanding of the structure of capital market trading data remains elusive. The one known application of audification to market price data reported in 1990 that it was difficult to interpret the results probably because the market does not resonate according to acoustic laws. This paper reports on some techniques for transforming the data so it does resonate; so audification can be used as a means of identifying autocorrelation in capital market trading data. Also reported are some experiments in which the data is sonified using a homomorphic modulation technique. The results obtained indicate that the technique may have a wider application to other similarly structured time-series data.

Keywords

audification sonification homomorphic modulation stock market trading data time-series statistics 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Bachelier, L.: Théorie de la Speculation. Annales de l’Ecole Normale Superieure 17, pp. 21–86; Translated into English by Boness, A.J. In: Cootner, P.H. (ed.) The random character of stock market prices, pp. 17–78. MIT Press, Cambridge (1967)Google Scholar
  2. 2.
    Baier, G.T., Hermann, T., Lara, O.M., Müller, M.: Using Sonification to Detect Weak Cross-Correlations in Coupled Excitable Systems. In: Proceedings of The Eleventh Meeting of the International Conference on Auditory Display, Limerick, Ireland, July 6-9 (2005)Google Scholar
  3. 3.
    Ben-Tal, O., Berger, J., Cook, B., Daniels, M., Scavone, G., Cook, R.: “SONART: The Sonification Application Research Toolbox. In: Proceedings of the 2002 International Conference on Auditory Display, Kyoto, Japan, July 2-5 (2002)Google Scholar
  4. 4.
    Best, V., Ozmeral, E.J., Kopco, N., Shinn-Cunningham, B.G.: Object Continuity Enhances Eelective Auditory Attention. Proceedings of the National Academy of Sciences of the United States of America 105(35), 13174–13178 (2008)CrossRefGoogle Scholar
  5. 5.
    Bly, S.: Multivariate Data Mappings. In: Kramer, G. (ed.) Auditory Display: Sonification, Audification, and Auditory Interfaces. Santa Fe Institute Studies in the Sciences of Complexity, Proceedings, vol. XVIII. Addison Wesley Publishing Company, Reading (1994)Google Scholar
  6. 6.
    Brewster, S., Murray, R.: Presenting Dynamic Information on Mobile Computers. Personal Technologies 4(2), 209–212Google Scholar
  7. 7.
    Boyd, E.: History of auditing. In: Brown, R. (ed.) A History of Accounting and Accountants. T.L & E.C. Jack, Edinburgh (1905)Google Scholar
  8. 8.
    Childs, E.: Auditory Graphs of Real-Time Data. In: Proceedings of ICAD 2005-Eleventh Meeting of the International Conference on Auditory Display, Limerick, Ireland, July 6-9 (2005)Google Scholar
  9. 9.
    Ciardi, F.C.: sMAX. A Multimodal Toolkit for Stock Market Data Sonification. In: Proceedings of ICAD 2004-Tenth Meeting of the International Conference on Auditory Display, Sydney, Australia, July 6-9 (2004)Google Scholar
  10. 10.
    http://www.csounds.com (Last viewed, March 2009)
  11. 11.
    Dombois, F.: Using Audification in Planetary Seismology. In: Proceedings of Eighth International Conference on Auditory Display, Espoo, Finland, July 29-August 1 (2001)Google Scholar
  12. 12.
    Dombois, F.: Auditory Seismology on free Oscillations, Focal Mechanisms, Explosions and Synthetic Seismograms. In: Proceedings of the 2002 International Conference on Auditory Display, Kyoto, Japan, July 2-5 (2002)Google Scholar
  13. 13.
    Dombois, F.: Underground Sounds. An Approach to Earthquake Prediction by Auditory Seismology. In: Geophysical Research Abstracts, vol. 4 (2002) EGS02-A-02741 Google Scholar
  14. 14.
    Farmer, J.D., Patelli, P.: Zovko. I.I. The Predictive Power of Zero Intelligence in Financial Markets. Proceedings of the National Academy of Sciences of the United States of America 102(6), 2254–2259 (2005), http://www.pnas.org/content/102/6/2254.full.pdf+html (Includes links to extensive range of supplementary material) (last viewed, october 2007)CrossRefGoogle Scholar
  15. 15.
    Frantti, G.E., Leverault, L.A.: Auditory Discrimination of Seismic Signals from Earthquakes and Explosions. Bulletin of the Seismic Society of America 55, 1–25 (1965)Google Scholar
  16. 16.
    Frauenberger, C., de Campo, A., Eckel. G. : Analysing Time Series Data. In: Proceedings of the 13th International Conference on Auditory Display, Montreal, Canada, June 26-29 (2007)Google Scholar
  17. 17.
    Frysinger, S.P.: Applied Research in Auditory Data Representation. In: Extracting Meaning from Complex Data: Processing, Display, Interaction, Santa Clara, California. SPIE-The International Society for Optical Engineering (1990)Google Scholar
  18. 18.
    Frysinger, S.P.: A Brief History of Auditory Data Representation to the 1980s. In: First Symposium on Auditory Graphs, Limerick, Ireland, July 10 (2005)Google Scholar
  19. 19.
    Gosh, P.: Team Records ’Music’ from Stars. BBC news website (2008), http://news.bbc.co.uk/2/hi/science/nature/7687286.stm (Last viewed March/October, 2008)
  20. 20.
    Heymann, M., Hansen, M.: A New Set of Sound Commands for R; Sonification of the HMC algorithm. In: ASA Proceedings, Statistical Computing Section, pp. 1439–1443. American Statistical Association, Alexandria (2002)Google Scholar
  21. 21.
    Hayward, C.: Listening to the Earth sing. In: Kramer, G. (ed.) Auditory Display: Sonification, Audification, and Auditory Interfaces. Santa Fe Institute Studies in the Sciences of Complexity, Proceedings, vol. XVIII, pp. 369–404. Addison Wesley Publishing Company, Reading (1994)Google Scholar
  22. 22.
    Hermann, T.M., Hansen, H., Ritter, H.: Sonification of Markov Chain Monte Carlo simulations. In: Proceedings of the 7th International Conference on Auditory Display. Helsinki University of Technology, pp. 208–216 (2001)Google Scholar
  23. 23.
    Janata, P.: Childs. E. Marketbuzz: Sonification of Real-Time Financial Data. In: Proceedings of the 2004 International Conference on Auditory Display, Sydney, Australia, July 5-9 (2004)Google Scholar
  24. 24.
    Kramer, G., Ellison, S.: Audification: The Use of Sound to Display Multivariate Data. In: Proceedings of the International Computer Music Conference, San Francisco, C.A. ICMA, pp. 214–221 (1991)Google Scholar
  25. 25.
    Kramer, G.: Some Organising Principles for Representing Data with Sound. In: Kramer, G. (ed.) Auditory Display: Sonification, Audification, and Auditory Interfaces. Santa Fe Institute Studies in the Sciences of Complexity, Proceedings, vol. XVIII. Addison Wesley Publishing Company, Reading (1994)Google Scholar
  26. 26.
    Kramer, G.: An Introduction to Auditory Display. In: Kramer, G. (ed.) Auditory display: Sonification, Audification, and Auditory Interfaces. Santa Fe Institute Studies in the Sciences of Complexity, Proceedings, vol. XVIII, pp. 1–77. Addison Wesley Publishing Company, Reading (1994)Google Scholar
  27. 27.
    Krishnan, S., Rangayyan, R.M., Douglas, B.G., Frank, C.B.: Auditory Display of Knee-Joint Vibration Signals. Journal of the Acoustical Society of America 110(6), 3292–3304 (2001)CrossRefGoogle Scholar
  28. 28.
    Lefèvre, E.: Reminiscences of a Stock Operator. John Wiley & Sons, NJ (1923/1994)Google Scholar
  29. 29.
    Ingalls, M.: http://www.csounds.com/matt/MacCsound/ (Last viewed March 2009)
  30. 30.
    Mandelbrot, B.B., Hudson, R.L.: The (Mis)behaviour of Markets. Basic Books, NY, USA (2004)Google Scholar
  31. 31.
    Mauney, B.S., And Walker, B.N.: Creating Functional and Livable Soundscapes for Peripheral Monitoring of Dynamic Data. In: Proceedings of ICAD 2004 - The Tenth International Conference on Auditory Display, Sydney, Australia, July 6-9 (2004)Google Scholar
  32. 32.
    Mezrich, J.J., Frysinger, S.P., Slivjanovski, R.: Dynamic Representation of Multivariate Time-Series Data. Journal of the American Statistical Association 79, 34–40 (1984)CrossRefGoogle Scholar
  33. 33.
    Murphy, J.: Technical Analysis of the Financial Markets. New York Institute of Finance, New York (1999)Google Scholar
  34. 34.
    Nesbitt, K.V., Barrass, S.: Evaluation of a Multimodal Sonification and Visualisation of Depth of Market Stock Data. In: Proceedings of the 2002 International Conference on Auditory Display, Kyoto, Japan, July 2-5 (2002)Google Scholar
  35. 35.
    Pauletto, S., Hunt, A.: A Comparison of Audio and Visual Analysis of Complex Time-Series Data Sets. In: Proceedings of ICAD 2005-Eleventh Meeting of the International Conference on Auditory Display, Limerick, Ireland, July 6-9 (2005)Google Scholar
  36. 36.
    Patterson, R.D.: Guidelines for the Design of Auditory Warning Sounds. In: Proceeding of the Institute of Acoustics, Spring Conference, vol. 11(5), pp. 17–24 (1989)Google Scholar
  37. 37.
    Peters, E.E.: Chaos and Order in the Capital Markets. John Wiley & Sons, Inc, NY (1991)Google Scholar
  38. 38.
    Skiena, S.S.: Financial Time-Series Data (2004), http://www.cs.sunysb.edu/skiena/691/lectures/lecture6/lecture6.html (Last viewed January 2008)
  39. 39.
    Sornette, D.: Why Stock Markets Crash. In: Critical Events in Complex Financial Systems. Princeton University Press, Princeton (2003)Google Scholar
  40. 40.
    Speeth, S.D.: Seismometer Sounds. Journal of the Acoustic Society of America 33, 909–916 (1961)CrossRefGoogle Scholar
  41. 41.
    Voss, R.F., Clarke, J.: 1/f Noise in Music and Speech. Nature 258, 317–318 (1975)CrossRefGoogle Scholar
  42. 42.
    Voss, R.F., Clarke, J.: 1/f Moise in Music: Music from 1/f Noise. Journal of the Acoustical Society of America 63(1), 258–263 (1978)CrossRefGoogle Scholar
  43. 43.
    Worrall, D.R.: Audification Experiments using XAO Returns in Auditory Display as a Tool for Exploring Emergent Forms in Exchange-Trading Data (2004). Report to the Sonic Communication Research Group, University of Canberra, (October 2004), http://www.avatar.com.au/sonify/research/sonsem1/4audExperi.html (Last viewed March 2009)
  44. 44.
    Worrall, D.R., Bylstra, M., Barrass, S., Dean, R.T.: SoniPy: The Design of an Extendable Software Framework for Sonification Research and Auditory Display. In: Proceedings of the 13th International Conference on Auditory Display, Montréal, Canada, June 26-29 (2007)Google Scholar
  45. 45.
    Xenakis, I.: Formalized Music: Thought and Mathematics in Music, pp. 136–143. Indiana University Press, Indiana (1971)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • David Worrall
    • 1
  1. 1.Sonic Communications Researh GroupUniversity of Canberra 

Personalised recommendations