Hot answers tagged

5 votes

Which database to choose for storing and aggregating finance data?

check this out Arctic. It's a Man AHL developed Mango DB for store their financial time series. Claimed to be really good. But i haven't try myself.
user avatar
  • 413
2 votes

Which database to choose for storing and aggregating finance data?

There are many different databases out there, all specialized for different use cases. The main parts you should consider are: Using a time series database, since they can handle timestamped data (e....
user avatar
2 votes

Clustering the observations in a price or returns series

"what value would there be in clustering the individual sample observations within that stock's historical prices series, or its return series? is univariate clustering done in finance?" ...
user avatar
  • 2,101
2 votes

Which database to choose for storing and aggregating finance data?

As @Nicholas said in a comment KX/KDB+ is popular in finance for this purpose. Direct message passing and local aggregation on the machine may be the best method in this case IMO.
user avatar
  • 1,049
1 vote

Select top $n$ most correlated assets in universe

Given the question text, my reply would be: Compute the correlation between all (or just a random subset, if 600^2 computations is too much) pairs of stocks. Sort the pairs, and choose stocks from ...
user avatar
  • 123
1 vote

Spectral clustering in finance

One spectral analysis technique involves decomposing a univariate time series using SVD, assigning eigenvectors to two or more groups with k-means or another clustering algorithm, with the least ...
user avatar
1 vote

Mixture of a similarity-based clustering and a feature-based clustering

Often before running these types of clustering algorithms, it would be good to run a PCA on them and create those as your feature set. This allows you to run clustering on multi-dimensional data ...
user avatar
  • 141
1 vote

Dendrogram/cluster analysis of correlation matrix

To summarize, you're attempting to create statistical 'sectors' in lieu of more standard equity classifications (eg, GICS, ICB)? It's something you can do, though to be frank, it's likely a fools-...
user avatar
  • 1,608
1 vote

Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?

You can model the return as a Hidden Markov Model (HMM) with several volatility states. The number of states can be chosen based on an objective model selection criterion, like AIC or BIC. For any ...
user avatar
  • 242
1 vote

How can I 'quantize' a time-series in 'groups' exhibiting similar patterns?

Regime detection with hidden Markov model: http://scikit-learn.sourceforge.net/stable/modules/hmm.html
user avatar
  • 194
1 vote

Which database to choose for storing and aggregating finance data?

Apache Cassandra would be a good fit. It's a partitioned row store, where rows are organized into table using a partition key. It is common use case to store time series data, you could simply use ...
user avatar
1 vote

Memory-efficient clustering algorithm for large time-series datasets

You may have a look at a list of clustering algos available in sklearn here, but I think all of them are of $O(n^2$) complexity. As well, have a look at the TSNE ...
user avatar

Only top scored, non community-wiki answers of a minimum length are eligible