produvia / kryptos

Kryptos AI is a virtual investment assistant that manages your cryptocurrency portfolio

http://twitter.com/kryptos_ai

MIT License

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Create Financial Data Structures #86

Open slavakurilyak opened 6 years ago

slavakurilyak commented 6 years ago

Goals

As a developer, I want to create structured financial data from unstructured data, in the form of time, tick, volume, and dollar bars, so that I can build the more interesting features for predicting financial time series data.

As a developer, I want to sample financial data differently, so that avoid using fixed time interval sampling.

Inspiration

Markets don't process information at fixed time intervals, time bars oversample during quiet periods and undersample during busy periods.
Time sampled bars often exhibit poor statistical properties:
- Serial Correlation
- Heteroscedasticity
- Non Normality of Returns

Source: Marcos Lopez de Prado (Advances in Financial Machine Learning, 2018)

Consider

Consider using work by Jacques Joubert (@Jackal08) who wrote a program to help users create structured financial data from unstructured data, performed analysis on this data, and wrote about his reasoning.
Consider learning from Brian Christopher (@BlackArbsCEO) whom explored alternative price bars