Just speaking heuristically, time series data is very high dimensional. For
the equities market, you have (at least) daily samples on nearly 10,000
publicly traded stocks. With only 3 years of data, that gives you 10
million dimensions. With 30 years of data, things are obviously 10x worse.
If
Hi,
On the SVD part... why would that help?
Thanks for your input:)
Florent
2010/7/15 Ted Dunning
> Clustering of time series data is usually better done in an abstract
> relatively low dimensional coordinate space based on some transform like a
> locality sensitive frequency transform. Gab
Thanks :-)
2010/7/16 Ted Dunning
> Gabor transform retains some time domain information. Since economic
> process change somewhat, I think that would be important. It also helps
> avoid questions about how to window the signal (it effectively *is* a
> windowed Fourier transform).
>
> On Fri,
Gabor transform retains some time domain information. Since economic
process change somewhat, I think that would be important. It also helps
avoid questions about how to window the signal (it effectively *is* a
windowed Fourier transform).
On Fri, Jul 16, 2010 at 5:01 AM, Florent Empis wrote:
>
Hi,
First of all, let me stress I'm not actually trying to do quant analysis...
it's just for fun, not pratical use is expected, other than learning some
new stuff.
I also thought of using a transform from time to frequency (fourrier...) but
it was only a wild guess based on my limited knoweldge
Clustering of time series data is usually better done in an abstract
relatively low dimensional coordinate space based on some transform like a
locality sensitive frequency transform. Gabor transforms might be
appropriate.
You might be able to get away with something like an SVD of your daily
cha
I once thought about being a quant long before I started my current company
:) .
I don't want to ruin the surprise for you, but because of volatility in the
market and the fact that you are looking at daily data (unless you spend a
lot of time writing a custom clustering implementation) you are mo
Hi,
I want to learn more on clustering techniques. I have skimmed through
Programming Collective Intelligence and Mahout in Action in the past but I
don't have them on hand at the moment... :(
I've seen Isabel Drost mail about test data on http://mldata.org/about/
I've had an idea of using http://
