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Monday, 9 January 2012

Recurrence plots

Recurrence plots are interesting - see this link for a very good Web site that explains them and what they can be used for. In particular, see this link for an animation that explains how they are made.

Inspired by this I made an example using RapidMiner. It works as follows
  1. A simple sine series is made.
  2. The "Windowing" operator converts the series into a set of triplets
  3. The "Multiply" operator makes a copy of the example set
  4. The "Cross Distances" operator calculates the distances between all the points in the two copies
  5. The "Filter Examples" operator allows filtering to be done. The smaller the distance the closer the points.
To see the result use the Block plotter and you should get this rather nice looking picture.

For fun, I downloaded the Google share price and I made this even nicer looking picture (this shows distances less than 0.1)

I suspect that when it comes to the application of recurrence plots to share prices there is more money in the art of looking rather than the science of predicting.

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