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Time Series Classification Synthetic vs Real Financial Time Series – Part II

See the first installement in this article for instructions from Matthew Smith on which R packages and data sets you need.

I plot the returns series using ggplot.

# Plot some returns – I only plot a random sample of 20 assets for each Synthetic vs Real.

ret_plot0 <- df %>%
filter(class == 0) %>%
group_by(row_id) %>%
nest() %>%
ungroup() %>%
sample_n(20) %>%
unnest() %>%
ggplot(aes(x = variable, y = value)) +
geom_line(aes(group = factor(row_id), color = factor(row_id))) +
ggtitle(“Synthetic Financial Time Series”) +
theme_classic() +
theme(axis.text.x = element_blank(), legend.position = “bottom”, legend.title = element_blank())

ret_plot1 <- df %>%
filter(class == 1) %>%
group_by(row_id) %>%
nest() %>%
ungroup() %>%
sample_n(20) %>%
unnest() %>%
ggplot(aes(x = variable, y = value)) +
geom_line(aes(group = factor(row_id), color = factor(row_id))) +
ggtitle(“Real Financial Time Series”) +
theme_classic() +
theme(axis.text.x = element_blank(), legend.position = “bottom”, legend.title = element_blank())

plot_grid(ret_plot0, ret_plot1)

Matthew Smith - R Blog

Next I plot boxplots for the Average returns and secondly the standard deviations.

ave_box <- df %>%
group_by(class, row_id) %>%
summarise(mean = mean(value)) %>%
ggplot(aes(x = factor(class), y = mean, color = factor(class))) +
geom_boxplot(show.legend = FALSE) +
ggtitle(“Syn vs Real Average Returns”) +
xlab(“Class”) +
ylab(“Average Returns”) +
theme_tq()

sd_box <- df %>%
group_by(class, row_id) %>%
summarise(sd = sd(value)) %>%
ggplot(aes(x = factor(class), y = sd, color = factor(class))) +
geom_boxplot(show.legend = FALSE) +
ggtitle(“Syn vs Real Standard Deviations”) +
xlab(“Class”) +
ylab(“Standard Deviation”) +
theme_tq()

plot_grid(ave_box, sd_box)

Visit Matthew Smith – R Blog to see the next step in his analysis, which is calculating the Durbin-Watson statistic: https://lf0.com/post/synth-real-time-series/financial-time-series/

Disclosure: Interactive Brokers

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This material is from Matthew Smith and is being posted with permission from Matthew Smith. The views expressed in this material are solely those of the author and/or Matthew Smith and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

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