Elastic Burst Detection
Burst detection is the activity of rinding abnormal aggregates in data streams. Such aggregates are based on sliding windows over data streams. In some applications, we want to monitor many sliding window sizes simultaneously and to report those windows with aggregates significantly different from other periods. We will present a general data structure and system called OmniBurst  for detecting interesting aggregates over such elastic windows in near linear time. We present applications of the algorithm to detecting Gamma Ray Bursts in large-scale astrophysical data. Detection of periods with high volumes of trading activities and high stock price volatility is also demonstrated using real time Trade and Quote (TAQ) data from the New York Stock Exchange (NYSE). Our algorithm filters out periods of non-bursts in linear time, so beats the quadratic direct computation approach (of testing all window sizes individually) by several orders of magnitude.
KeywordsFlare Volatility Suffix
Unable to display preview. Download preview PDF.