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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.
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