# Questions tagged [normalization]

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### using a normalized formula from a book but not getting the correct values

I'm attempting a normalization formula (seen in the picture) but I'm not getting the result of 0 and 1. Instead I'm getting values greater than 1 and less than 0 (seen in the other picture). I wrote ...
368 views

### How to Normalize Weights When Weights don't sum to 100%

I'm working on a take-home assignment for a company. They want me to calculate the return of a portfolio of securities over time, given the returns of the securities over time and the initial ...
45 views

### Normalize positive distributed time series data without window parameters

I have a piece of daily volume and a piece of daily trades data, now I divide them and I get volume/trades as a factor. This factor has positive value and I want it to be normalized to predict the ...
118 views

### Normalise 5hr, 10hr, weekly, monthly returns using 1hr time bar

I have a question on normalisation of returns when working with high frequency bars, such as 10mins, 30mins or 1hr. Suppose I have a time series of 1hr bars. I'd like to compute 5hr, daily, weekly, ...
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1 vote
1k views

### Does it make any sense to normalize returns?

I have been going through a course for Time Series Analysis. First we learned to make returns from a time-series of stock index by (Xt - Xt-1)/Xt-1 . This makes the series stationary, which means we ...
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735 views

### Right way to standardize price based features across different stocks for supervised learning

Let's say we have an OHLCV dataset for a universe of stocks. We want to create features based on these price data. Since each stock may have a very different price range from the other if we just take ...
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51 views

### Mapping One symbol's Support/Resistance to another Symbol

I wish to map and display the Support/Resistance lines (i.e. SMA20_daily) of ES onto NQ graph as I think they are mutually effecting each other, how may I achieve this? Do I need to do some kind of ...
• 1
147 views

### Does standardizing/normalizing asset returns change their skewness and kurtosis?

Asset returns are obtained by log-differencing prices. Standardizing or normalizing/scaling asset returns can be carried out by de-meaning the returns and dividing them by their standard deviation, ...
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### How would you equally distribute the risk of each stock in a portfolio?

Suppose you have in-sample (IS) and out-of-sample (OOS) daily returns of N stocks (IS and OOS dates are the same for each stock). Suppose you want to calculate return captured each day as x * ret. ...
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369 views

### How can I normalize price data for 2 financial instruments from different categories?

Lets say I want to build a divergence / convergence strategy with FOREX currency pair and a correlated commodity. How can I normalize the prices so that I get an accurate idea of the movements of each,...
1 vote
347 views

### Normalization of volume

suppose we have volumes every minute like below 100, 200 , 19, 0 , 200 , 12 , 100 I want to convert all these numbers to less than 10 , where 10 is max and 1 is ...
1 vote
1k views

### How to normalize stock exchange indexes

I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I ...
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### Comparison of normalization methods on market returns

I am looking to use a multi-factor model to make target-return predictions. Since the factor-returns come from different scales I need to normalize first. There are different ways to normalize ...
502 views

### How to calculate the normalized value of a changing stock portfolio?

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...
2k views

### Appropriate way to normalize Bollinger Bands?

I am playing around with using neural nets to make predictions on market trends. I am currently feeding in a portfolio of historical data of many stocks, and am now implementing several technical ...
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### Why does MACD not use log normalization

Today I wondered why the MACD oscillator uses the differences of two averages instead of the log of their quotient just like it's done for volatility estimation. With this kind of log normalization ...
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How to normalise daily trading volume and trading value as features for RNN model of stock time series? The immediate answer could be: taking the global min/max, mean/std for each stock across the ...
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I am interested in implementing a simple pairs trading strategy using two correlated futures contracts. I am unsure what the best way to normalize the prices of the two instruments is. Essentially ...
301 views

### How to normalize various indicators into one column?

I've seen this video which talks about how to compress different indicators into a sin https://www.youtube.com/watch?v=sDu6CudKa0Q I tried to do the same by this way: ...
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1 vote
342 views

### Probability Integral Transform: Standardisation

I've been applying the probability integral transform as shown here to standardise date for input into a neural network: https://math.stackexchange.com/questions/592076/mapping-cdfs-to-each-other?...
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563 views

### Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. the ...
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208 views

### Which kind of normalization to prefer before PCA (generic solution for any factor analysis)

I have financial assets with totally different volatilities, thus I must standardize them before PCA, otherwise, assets with high variance may be considered as principle components, which is wrong. ...
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### How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
126 views

Lets assume I want to normalize some stock data ( prices or log prices) to compare for different types of correlation for example. And here is the question how should I normalize: a) by subtracting ...
447 views

### Normalized price process $Z(t)=\frac{\Pi(t)}{B(t)}$

If an interest rate model with the following $P$-dynamics for the short rate. $$dr(t)=\mu(t,r(t))dt+\sigma(t,r(t))d\bar{W}(t)$$ Now consider a $T$-claim of the form $\chi = \Phi(r(T))$ with ...
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1 vote
822 views

### Different range price data on one chart

I'd like to evaluate 3-4 instruments on one price chart. For example: Stock A: 90,05 90,15 90,25 90,09 Stock B: 0,0045 0,0049 0,0039 0,0040 Stock C: 1998,1 1998,7 1998,8 1997 I try to use: Ln(...
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1k views

### Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
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