"Time series Labeling"

drelumdrelum Member Posts: 3 Contributor I
edited May 23 in Help
Hello!

Does anyone know how I can generate a new binary attribute based on whether the next value in a time series stock price is UP or DOWN?

For example, If I have

time1: 50
time2: 60
time3: 40

Then, the generated attibute would be

time1: UP
time2: DOWN
time3: ?


Thank you in advance


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Answers

  • haddockhaddock Member Posts: 849  Guru
    Hi,

    The operator LabelTrend2Classification does exactly this; but if your attribute is not the label you might need to designate it as such, using the ChangeAttributeRole operator, apply the LabelTrend2Classification operator, and then change back to the original label.

    Actually there is also a ChangeAttributeType operator which appears to do the same as the ChangeAttributeRole, so two for the price of one!
  • drelumdrelum Member Posts: 3 Contributor I
    Hello Haddock,

    Thank you for your response. I was wondering if there is a way to set a threshold, so the trend defition is set only if the change in values is above this threshold.

    Do you know if this is possible?

    Best Regards,

    Andre
  • haddockhaddock Member Posts: 849  Guru
    Hi,
    Should tell you in the documentation.
  • drelumdrelum Member Posts: 3 Contributor I
    I could not find anything related to threshold definition in this operator.


    Does anyone know how to do this?



  • landland RapidMiner Certified Analyst, RapidMiner Certified Expert, Member Posts: 2,523   Unicorn
    Hi Andre,
    did you already applied a windowing function onto your time series? Then you could use feature construction and a UserBasedDiscretization to fullfill your goal. Lets say you have something like that as an example

    time-3  time-2  time-1 time-0
    30        40      45      52

    You could then construct a new attribute difference using time-0  - time-1.
    time-3  time-2  time-1 time-0 difference
    30        40      45      52        7

    Using a UserBasedDiscretization you could wrap everything between -5 and 5 to stable and the rest onto down or up.

    Greetings,
      Sebastian
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