Using SVM Kernels for Time Series Analysis

I wanted to share two research papers that are invaluable to anyone trying to use Support Vector Machines (SVM) for modeling the stock market.  One written by an author well known to the Rapid-I team, and another by Korean researcher.  I’ve used both of these papers as blueprints for some of my past stock market analysis processes.

The first one is by Kyoung-jae Kim and titled “Financial time series forecasting using support vector machines.

The second is by Stefan Ruping (forgive the missing umlaut) and titled “SVM Kernels for Time Series Analysis.”

Posted in RapidMiner, Stocks, Tutorials | 1 Comment

Rapidminer Sample Process: Multiply Data

I often use the Multiply operator to make copies of my data set and feed it into different learners. I do this because sometimes I don’t know if a Neural Net operator, or a SVM operator, give me better performance.  Once I know which operator performs my task better, I then use the parameter optimization process to see if I can squeeze more accuracy out it.

The sample process below uses the Iris data set, just switch it out with your data set and enjoy.

Multiply Sample Process.txt

Posted in RapidMiner, Tutorials | Leave a comment

Rapidminer Sample Process: Financial Text Mining

This is the sample Rapidminer process I used in Video #14.  Just download the text file and import into into RM using the import process function.  Please note, you will need to create the Excel spreadsheet yourself, as I show you in the video.  Just save the Excel to a 2003 format and you’re done.

Enjoy!

Financial Textmining.txt

Posted in RapidMiner, Text Mining, Tutorials | 2 Comments

Rapidminer Sample Process: Parameter Optimization

Below is a simple parameter optimization process in Rapidminer using the Iris data set.  Download the TXT file and import it into Rapidminer.  Of course, you may use whatever data set you want and switch out the learner.  Make sure to update the parameter optimization operator parameters. :)

RM-Parameter Optimization.txt

Posted in RapidMiner, Tutorials | Leave a comment

Terrible

Expression Engine = Terrible

Textpattern = Terrible

Never again will I be switching from WordPress.

Posted in Random | Leave a comment

Violin Plots of Volatility

I came across a fantastic R script from blogger Milk Trader.  It’s about generating something called violin plots of volatility for the S&P500 index and the VIX, which he got from this CBOE paper.  I took that script a bit further and added in one of my current trend positions, $ARLP, just for fun.

The plot is essentially a “combination of a box plot and a kernel density plot” and shows us the absolute value of volatility (negative returns are represented as positive) on the y axis.

A very simple R code (you can get it on his site) with a great visual impact.  Great job Milk Trader!

Don’t miss my posts about Rapidminer and R! Sign up for my feed now! It’s easy to do and I’d be eternally grateful!

Posted in R Statistics | 3 Comments

Name That Technical Pattern!

Three different stocks, three different (possible) technical patterns.  Can my readers tell me where and what these technical patterns are?

Stock #1

Stock #2

Stock #3


Posted in Stocks, Trends | 9 Comments

Which Sector Would You Buy?

Which of these sectors would you buy right now?

The answer depends on whether you’re a trader or investor, and of course your holding time.

Posted in 401K, ETF's | Leave a comment

Monthly Returns for XLE in R

I’m still poking around in R, and leveraging the Quantmod package for fun.  Below I generated a simple bar chart of 6 months of monthly returns for XLE, the oil services ETF.

Not to shabby, eh?  Now if only I can figure out how to correctly scale the y-axis and add in a few more ETF’s into the same chart,with different colors, then I’ll be happy. Any reader know how to do this?

Update: Thanks to readers Shane,  Sergi, and Cidiel, I was able to generate this new plot of XLE and XLF together for the past three months of returns. Thanks guys.

 

Posted in R Statistics | 14 Comments

Let’s Go Jayhawks!

Posted in Sports | 2 Comments

Text Mining Blog Keywords In Rapidminer and Google Analytics

So I finally got around to downloading some keyword data from Google Analytics for the time period of 2/17/11 through 3/17/11 just to see what’s driving my site traffic.  I did a simple text mining process in Rapidminer to build my keyword frequency list (it took me a few minutes) and generated keyword similarities.  Of course I know what is the biggest draw to my site, that would be my tutorials about Rapidminer, BUT what I’m looking for are subtler patterns in the keywords relative to the bounce rates and site visits.

So below are a few charts I generated from one month of keyword data.

The first chart I want to share with you is a bubble chart showing the site visits for a particular keyword vs the bounce rates. In this case the keyword is Rapidmi (a stemmed word for Rapidminer) It’s a bubble chart so the size of the bubbles are set for the frequency of the word Rapidminer relative to the site visit and bounce rate.

The second chart is visits vs bounce rate but with the keyword Tutorial as the bubble size.

And the last chart is visits vs bounce rate but with the keyword Stock as the bubble size.

 

It appears from the above exercise that the keyword Rapidminer and Tutorial drives a lot of traffic but they have a relatively even keyword frequency distribution across the bounce rate, some people bounce immediately while other stick. The keyword Stock has an interesting bounce rate per visit distribution relative to the keyword frequency, its either 100%, 30 to 50% or almost 0%.

What I find fascinating is the stickiness of the keyword frequency Rapidminer and Tutorial relative to the 50% bounce rate and site visits. There’s a strong site visit (45 to 60) component for those keywords in the data, but I knew that already.

I’m attaching the Rapidminer process file in case you want to mine your own keywords (you have to supply your own data).

KeywordSimilarity

Posted in Blogging Tips, Data Visualization, iMarketing, RapidMiner, Text Mining | 6 Comments

Referrers to Neural Market Trends

I use Google Analytics and I probably should use more it in conjuction with Rapidminer to do more data modeling, but it’s a question of free time; something that’s a luxury right now.

For fun I’m posting my top 10 referrers for the period of February 17 through March 17, 2011. Of course Rapid-I is on top of that list and thanks to them and all the other blogs and websites for linking to this site.  You all make me smile and without you I’d probably be just another loser on the Internet.

 

What’s interesting in this referrer snapshot is that I have a relatively low visitor rate (highly niche blog) but my average “time on site” is over 4 minutes, with the last month time period clocking in over 7 minutes.  That’s because of my video tutorials, the biggest driver of traffic for this measly blog.

Posted in Blogging Tips, iMarketing, RapidMiner | Leave a comment