Forums  > Pricing & Modelling  > Agglomerative Clustering  
     
Page 1 of 1
Display using:  

secsy


Total Posts: 10
Joined: Mar 2019
 
Posted: 2019-05-16 06:31
Been working on a model for currencies and wanted to know if anyone has tried something like this before. Given a history of prices, I create scaled instances of a certain length (around 60 points per instance), then cluster them by cosine similarity. The idea of clustering is simply to reduce the computation time required to compare arrays to find similar instances. The strategy relies on the assumption that "similar" price instances will reliably produce similar outcomes. The clustering, which I am doing with agglomerative clustering and then fitting with a classifier, speeds up the process significantly (~5x compared to array comparison for all instances). Would be interested to know if anyone has thoughts on this/experience doing this.

contango_and_cash


Total Posts: 141
Joined: Sep 2015
 
Posted: 2019-05-30 00:04
I have not done exactly what you are saying, but if the clustering itself is somewhat consistent, you could just pickle your fitted model with some lag t (1h, 1day), load the latest model at t+1 and transform on the fly. this alone will greatly reduce computation time regardless.

agglomerative clustering works with the added benefit of dendrograms to visualize (often a struggle with ML stuff) but i don't know enough about your problem.


ctd


Total Posts: 62
Joined: Jan 2008
 
Posted: 2019-07-12 21:04
It probably depends on what your ultimate objective is as to whether this approach will be fruitful.

I've used clustering methods, but to a certain extent with the aim of dimensionality reduction (a la PCA), where it can shine given appropriate context. It stands to reason it could work for you if you trusted the underlying assumption you mention and the clusters themselves (ie, it will take less time to classify 5 clusters than to classify 40 separate currency crosses).

jiuer7845
Banned

Total Posts: 8
Joined: May 2021
 
Posted: 2021-05-30 11:27
Pandora Charms

Jordan 1

YEEZY SUPPLY

Adidas UK

Pandora Charms

Pandora Jewelry

Nike Outlet

Adidas Shoes

Nike Shoes

Nike Outlet

Pandora Jewelry

Pandora Outlet

Jordan Shoes

Air Jordan 4

Pandora Charms

Pandora Jewelry

Pandora Rings

Pandora Bracelets

Adidas Yeezy

Yeezy

Pandora Charms

Nike Outlet

Adidas Yeezy

Air Max 720

Nike Air Max 270

Air Jordan 11

Air Force 1

Air Jordan 1

Nike Jordans

Jordan 1s

Pandora Charms

Pandora UK

Nike Jordan 1

Nike Air VaporMax Flyknit 3

Jordan 1

Pandora Sale

Jordan 11

Nike Air VaporMax

Pandora Jewelry Official Site

Nike Vapormax Flyknit

Air Jordan 1 Mid

Yeezy 350

Adidas yeezy

Yeezy Shoes

Yeezy 350

Adidas Yeezy

Yeezy 350

Nike Shoes

Yeezy

Nike Outlet

Yeezy

NFL Shop Official Online Store

Nike UK

Yeezy Shoes

Yeezy

Yeezy 350

https://www.pandoracharms.uk.com/ Pandora Charms https://www.adidasuk.uk.com/ Adidas UK https://www.jordan1.uk.com/ Jordan 1 https://www.supplyyeezys.us/ YEEZY SUPPLY https://www.pandoracharms.cc/ Pandora Charms
Previous Thread :: Next Thread 
Page 1 of 1