TUTORIAL (FP III)

“A Quick Guide” to EDA for Deep Learning on

Time Series (project topic)

Dr Richard Diamond
r.diamond@cqf.com

CQF Institute – Educating the quantitative finance community 55

Points of reference

• Prediction with Neural Nets for different asset

classes

• Features engineering in financial space. TA-Lib

• EDA and visualisation. Correlation Maps. Feature

importance ranking

• SOM and k-means clustering on features space

56
Today is the final tutorial related to FP.

It is open-ended by purpose and open to your questions.

First, lets cover some ground on feature engineering,

ranking and self-organising maps (SOMs).

• TA-Lib https://ta-lib.org/

• Python wrapper USEFUL REF

https://mrjbq7.github.io/ta-lib/
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Drift-independent volatility (YZ estimator)

1+1/k times more efficient than STDEV()

58
What if you have overlapping features / clusters of same-
type features? 59
Features correlation in one asset (stock)
60
 ... towards k-means clustering of features

• Transpose feature matrix so features become

observations.

• ELBOW plot from k-means will suggest the number

of clusters

• One approach is to to drop the price-related features

not grouped with the independent variables

61
Based on the below output of k-means, which
feature(s) would you choose to remove?

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We have SOM
example
implemented in
Python Lab (Kannan
Singuravelu)

Repeat the same but

organising features,
not equities