Data Science
How to handle dimensionality differences over time or between subjects
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Note: This question has in mind tabular data, rather than imaging/NLP.
In the situation of collecting data over long periods of time, instruments may change and collect more precise data. This leads to the dimensionality of the data changing over time. In its simplest form this might be a feature called FeatureA was collected, but over time the instrument allows us to collect more detailed features that aim to replace FeatureA with new features FeatureA1, FeatureA2 and FeatureA3.
We probably dont want to throw the data away with the less precise FeatureA, so how do we incorporate these new features? If it was a straight replacement of one feature with another one feature I might go for a time-varying multilevel model, but I can't see a way of applying this where the dimensionality increases, at least with most libraries.
Similarly, if sub-cohorts are using slightly different instruments to detect the same thing, but the dimensionality is different, how could we input them into the same model.
Encoder-Decoder RNNs can handle the problem of differing input sizes quite elegantly so perhaps there is some inspiration there - maybe code up tabular data inputs as tensors like you would with word vectors.
Perhaps dimensionality reduction techniques like PCA/Autoencoders might work?
Does anyone have any suggestions?
I have panel data consisting of time series for 120 months, 45 institutions and approximately 8 variables for each one. I want to do a cluster analysis in order to detect stressed institutions based on dynamic clustering analysis. For instance, check if a stressed institution does move from one cluster to another, or if its behavior changes so much that it is no longer part of its own cluster.
The idea would be to use the information up to time t to cluster the institutions and get the clusters for each institution so it can evolve with new information and use all the information available up to that point from all the banks, with time varying clusters.
My first idea was to use statistical control techniques and anomaly detection for time series such as the ones in the package anomaly, but this procedure does not use all the information from the other banks, just its own. It might be that the whole system is stressed, so detecting an anomaly in one bank might be because of the system and not because of the particular bank.
I also tried using clustering in each period through hierarchical clustering, and did a decent job on classifying the institutions based on my knowledge of them. However, this procedure only uses data at each point in time, not all the data available up to that point.
I had the idea of using clustering methods for panel data at each point in time, using the data up to that point, and cycling through each month to get dynamic clusters using the whole dataset. However, I don't know if this approach makes sense, or if there are better methods to do this kind of analysis.
Thank you very much!
If I provided you with data sufficient to classify a bunch of objects as either apples, oranges or bananas, how long might it take you to build an SVM that could make that classification? I appreciate that it probably depends on the nature of the data, but are we more likely talking hours, days or weeks?
Ok. Now that you have that SVM, and you have an understanding of how the data behaves, how long would it likely take you to upgrade that SVM (or build a new one) to classify an extra class (tomatoes) as well? Seconds? Minutes? Hours?
The motivation for the question is trying to assess the practical suitability of SVMs to a situation in which not all data is available to be sampled at any time. Fruit are an obvious case - they change colour and availability with the season.
If you would expect SVMs to be too fiddly to be able to create inside 5 minutes on demand, despite experience with the problem domain, then suggestions of a more user-friendly form of classifier for such a situation would be appreciated.
Generally, adding a class to a 1 vs. many SVM classifier requires retraining all classes. In case of large data sets, this might turn out to be quite expensive. In the real world, when facing very large data sets, if performance and flexibility are more important than state-of-the-art accuracy, Naive Bayes is quite widely used (adding a class to a NB classifier requires training of the new class only).
However, according to your comment, which states the data has tens of dimensions and up to 1000s of samples, the problem is relatively small, so practically, SVM retrain can be performed very fast (probably, in the order of seconds to tens of seconds).
You need to give us more details about your problem, since there are too many different scenarios where SVM can be trained fairly quickly (I could train it in real time in a third person shooting game and not have any latency) or it could last several minutes (I have a case for a face detector that training took an hour long)
As a thumb rule, the training time is proportional to the number of samples and the dimension of each vector.
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I am a computer science student and i have to choose the theme of my future research work. I really want to solve some scientific problems in chemistry(or maybe biology) using computers. Also I have huge interest in machine learning sphere.
I have been surfing over internet for a while, and have found some particular references on that kind of problems. But, unfortunately, that stuff is not enough for me.
So, I am interested in the Community's recommendation of particular resources that present the application of an ML technique to solve a problem in chemistry--e.g., a journal article or a good book describing typical (or the new ones) problems in chemistry being solved "in silico".
i should think that chemistry, as much as any domain, would have the richest supply of problems particularly suited for ML. The rubric of problems i have in mind are QSAR (quantitative structure-activity relationships) both for naturally occurring compounds and prospectively, e.g., drug design.
Perhaps have a look at AZOrange--an entire ML library built for the sole purpose of solving chemistry problems using ML techniques. In particular, AZOrange is a re-implementation of the highly-regarded GUI-driven ML Library, Orange, specifically for the solution of QSAR problems.
In addition, here are two particularly good ones--both published within the last year and in both, ML is at the heart (the link is to the article's page on the Journal of Chemoinformatics Site and includes the full text of each article):
AZOrange-High performance open source machine learning for QSAR modeling in a graphical programming environment.
2D-Qsar for 450 types of amino acid induction peptides with a novel substructure pair descriptor having wider scope
It seems to me that the general natural of QSAR problems are ideal for study by ML:
a highly non-linear relationship between the expectation variables
(e.g, "features") and the response variable (e.g., "class labels" or
"regression estimates")
at least for the larger molecules, the structure-activity
relationships is sufficiently complex that they are at least several
generations from solution by analytical means, so any hope of
accurate prediction of these relationships can only be reliably
performed by empirical techniques
oceans of training data pairing analysis of some form of
instrument-produced data (e.g., protein structure determined by x-ray
crystallography) with laboratory data recording the chemical behavior
behavior of that protein (e.g., reaction kinetics)
So here are a couple of suggestions for interesting and current areas of research at the ML-chemistry interface:
QSAR prediction applying current "best practices"; for instance, the technique that won the NetFlix Prize (awarded sept 2009) was not based on a state-of-the-art ML algorithm, instead it used kNN. The interesting aspects of the winning technique are:
the data imputation technique--the technique for re-generating the data rows having one or more feature missing; the particular
technique for solving this sparsity problem is usually referred to by
the term Positive Maximum Margin Matrix Factorization (or
Non-Negative Maximum Margin Matrix Factorization). Perhaps there are
a interesting QSAR problems which were deemed insoluble by ML
techniques because of poor data quality, in particular sparsity.
Armed with PMMMF, these might be good problems to revisit
algorithm combination--the rubric of post-processing techniques that involve combining the results of two or more
classifiers was generally known to ML practitioners prior to the
NetFlix Prize but in fact these techniques were rarely used. The most
widely used of these techniques are AdaBoost, Gradient Boosting, and
Bagging (bootstrap aggregation). I wonder if there are some QSAR
problems for which the state-of-the-art ML techniques have not quite
provided the resolution or prediction accuracy required by the
problem context; if so, it would certainly be interesting to know if
those results could be improved by combining classifiers. Aside from their often dramatic improvement on prediction accuracy, an additional advantage of these techniques is that many of them are very simple to implement. For instance, Bagging works like this: train your classifier for some number of epochs and look at the results; identify those data points in your training data that caused the poorest resolution by your classifier--i.e., the data points it consistently predicted incorrectly over many epochs; apply a higher weight to those training instances (i.e., penalize your classifier more heavily for an incorrect prediction) and re-train y our classifier with this "new" data set.
Given a set of data very similar to the Motley Fool CAPS system, where individual users enter BUY and SELL recommendations on various equities. What I would like to do is show each recommendation and I guess some how rate (1-5) as to whether it was good predictor<5> (ie. correlation coefficient = 1) of the future stock price (or eps or whatever) or a horrible predictor (ie. correlation coefficient = -1) or somewhere in between.
Each recommendation is tagged to a particular user, so that can be tracked over time. I can also track market direction (bullish / bearish) based off of something like sp500 price. The components I think that would make sense in the model would be:
user
direction (long/short)
market direction
sector of stock
The thought is that some users are better in bull markets than bear (and vice versa), and some are better at shorts than longs- and then a combination the above. I can automatically tag the market direction and sector (based off the market at the time and the equity being recommended).
The thought is that I could present a series of screens and allow me to rank each individual recommendation by displaying available data absolute, market and sector out performance for a specific time period out. I would follow a detailed list for ranking the stocks so that the ranking is as objective as possible. My assumption is that a single user is right no more than 57% of the time - but who knows.
I could load the system and say "Lets rank the recommendation as a predictor of stock value 90 days forward"; and that would represent a very explicit set of rankings.
NOW here is the crux - I want to create some sort of machine learning algorithm that can identify patterns over a series of time so that as recommendations stream into the application we maintain a ranking of that stock (ie. similar to correlation coefficient) as to the likelihood of that recommendation (in addition to the past series of recommendations ) will affect the price.
Now here is the super crux. I have never taken an AI class / read an AI book / never mind specific to machine learning. So I cam looking for guidance - sample or description of a similar system I could adapt. Place to look for info or any general help. Or even push me in the right direction to get started...
My hope is to implement this with F# and be able to impress my friends with a new skill set in F# with an implementation of machine learning and potentially something (application / source) I can include in a tech portfolio or blog space;
Thank you for any advice in advance.
I have an MBA, and teach data mining at a top grad school.
The term project this year was to predict stock price movements automatically from news reports. One team had 70% accuracy, on a reasonably small sample, which ain't bad.
Regarding your question, a lot of companies have made a lot of money on pair trading (find a pair of assets that normally correlate, and buy/sell pair when they diverge). See the writings of Ed Thorpe, of Beat the Dealer. He's accessible and kinda funny, if not curmudgeonly. He ran a good hedge fund for a long time.
There is probably some room in using data mining to predict companies that will default (be unable to make debt payments) and shorting†them, and use the proceeds to buy shares in companies less likely to default. Look into survival analysis. Search Google Scholar for "predict distress" etc in finance journals.
Also, predicting companies that will lose value after an IPO (and shorting them. edit: Facebook!). There are known biases, in academic literature, that can be exploited.
Also, look into capital structure arbitrage. This is when the value of the stocks in a company suggest one valuation, but the value of the bonds or options suggest another value. Buy the cheap asset, short the expensive one.
Techniques include survival analysis, sequence analysis (Hidden Markov Models, Conditional Random Fields, Sequential Association Rules), and classification/regression.
And for the love of God, please read Fooled By Randomness by Taleb.
†shorting a stock usually involves calling your broker (that you have a good relationship with) and borrowing some shares of a company. Then you sell them to some poor bastard. Wait a while, hopefully the price has gone down, you buy some more of the shares and give them back to your broker.
My Advice to You:
There are several Machine Learning/Artificial Intelligence (ML/AI) branches out there:
http://www-formal.stanford.edu/jmc/whatisai/node2.html
I have only tried genetic programming, but in the "learning from experience" branch you will find neural nets. GP/GA and neural nets seem to be the most commonly explored methodologies for the purpose of stock market predictions, but if you do some data mining on Predict Wall Street, you might be able to utilize a Naive Bayes classifier to do what you're interested in doing.
Spend some time learning about the various ML/AI techniques, get a small data set and try to implement some of those algorithms. Each one will have its strengths and weaknesses, so I would recommend that you try to combine them using Naive Bays classifier (or something similar).
My Experience:
I'm working on the problem for my Masters Thesis so I'll pitch my results using Genetic Programming: www.twitter.com/darwins_finches
I started live trading with real money in 09/09/09.. yes, it was a magical day! I post the GP's predictions before the market opens (i.e. the timestamps on twitter) and I also place the orders before the market opens. The profit for this period has been around 25%, we've consistently beat the Buy & Hold strategy and we're also outperforming the S&P 500 with stocks that are under-performing it.
Some Resources:
Here are some resources that you might want to look into:
Max Dama's blog: http://www.maxdama.com/search/label/Artificial%20Intelligence
My blog: http://mlai-lirik.blogspot.com/
AI Stock Market Forum: http://www.ai-stockmarketforum.com/
Weka is a data mining tool with a collection of ML/AI algorithms: http://www.cs.waikato.ac.nz/ml/weka/
The Chatter:
The general consensus amongst "financial people" is that Artificial Intelligence is a voodoo science, you can't make a computer predict stock prices and you're sure to loose your money if you try doing it. None-the-less, the same people will tell you that just about the only way to make money on the stock market is to build and improve on your own trading strategy and follow it closely.
The idea of AI algorithms is not to build Chip and let him trade for you, but to automate the process of creating strategies.
Fun Facts:
RE: monkeys can pick better than most experts
Apparently rats are pretty good too!
I understand monkeys can pick better than most experts, so why not an AI? Just make it random and call it an "advanced simian Mersenne twister AI" or something.
Much more money is made by the sellers of "money-making" systems then by the users of those systems.
Instead of trying to predict the performance of companies over which you have no control, form a company yourself and fill some need by offering a product or service (yes, your product might be a stock-predicting program, but something a little less theoretical is probably a better idea). Work hard, and your company's own value will rise much quicker than any gambling you'd do on stocks. You'll also have plenty of opportunities to apply programming skills to the myriad of internal requirements your own company will have.
If you want to go down this long, dark, lonesome road of trying to pick stocks you may want to look into data mining techniques using advanced data mining software such as SPSS or SAS or one of the dozen others.
You'll probably want to use a combination or technical indicators and fundamental data. The data will more than likely be highly correlated so a feature reduction technique such as PCA will be needed to reduce the number of features.
Also keep in mind your data will constantly have to be updated, trimmed, shuffled around because market conditions will constantly be changing.
I've done research with this for a grad level class and basically I was somewhat successful at picking whether a stock would go up or down the next day but the number of stocks in my data set was fairly small (200) and it was over a very short time frame with consistent market conditions.
What I'm trying to say is what you want to code has been done in very advanced ways in software that already exists. You should be able to input your data into one of these programs and using either regression, or decision trees or clustering be able to do what you want to do.
I have been thinking of this for a few months.
I am thinking about Random Matrix Theory/Wigner's distribution.
I am also thinking of Kohonen self-learning maps.
These comments on speculation and past performance apply to you as well.
I recently completed my masters thesis on deep learning and stock price forecasting. Basically, the current approach seems to be LSTM and other deep learning models. There are also 10-12 technical indicators (TIs) based on moving average that have been shown to be highly predictive for stock prices, especially indexes such as SP500, NASDAQ, DJI, etc. In fact, there are libraries such as pandas_ta for computing various TIs.
I represent a group of academics that are trying to predict stocks in a general form that can also be applied to anything, even the rating of content.
Our algorithm, which we describe as truth seeking, works as follows.
Basically each participant has their own credence rating. This means that the higher your credence or credibility, then the more their vote counts. Credence is worked out by how close to the weighted credence each vote is. It's like you get a better credence value the closer you get to the average vote that has already been adjusted for credence.
For example, let's say that everyone is predicting that a stock's value will be at value X in 30 day's time (a future's option). People who predict on the average get a better credence. The key here is that the individual doesn't know what the average is, only the system. The system is tweaked further by weighting the guesses so that the target spot that generates the best credence is those votes that are already endowed with more credence. So the smartest people (historically accurate) project the sweet spot that will be used for further defining who gets more credence.
The system can be improved too to adjust over time. For example, when you find out the actual value, those people who guessed it can be rewarded with a higher credence. In cases where you can't know the future outcome, you can still account if the average weighted credence changes in the future. People can be rewarded even more if they spotted the trend early. The point is we don't need to even know the outcome in the future, just the fact that the weighted rating changed in the future is enough to reward people who betted early on the sweet spot.
Such a system can be used to rate anything from stock prices, currency exchange rates or even content itself.
One such implementation asks people to vote with two parameters. One is their actual vote and the other is an assurity percentage, which basically means how much a particular participant is assured or confident of their vote. In this way, a person with a high credence does not need to risk downgrading their credence when they are not sure of their bet, but at the same time, the bet can be incorporated, it just won't sway the sweet spot as much if a low assurity is used. In the same vein, if the guess is directly on the sweet spot, with a low assurity, they won't gain the benefits as they would have if they had used a high assurity.