java.lang.Object
org.joone.util.AbstractConverterPlugIn
org.joone.util.ConverterPlugIn
org.joone.util.DeltaNormPlugIn
- All Implemented Interfaces:
- PlugInListener, java.io.Serializable
- public class DeltaNormPlugIn
- extends ConverterPlugIn
This plugin calculates the Delta Normalization on a time series.
the Delta Normalization technique permits to feed a neural network
with the delta values instead of the absolute values of the series,
permitting in this manner to avoid the problems correlated with both
ascending and descending trends.
The normalization is obtained by dividing the delta value by
the dynamic range (named Probability Volatility Windows) calculated
on the given period. This plugin is very useful for financial predictions
when used in combination with the MinMaxExtractorPlugin.
To learn more on this technique read the excellent book:
"Financial Prediction Using Neural Networks" by Joseph S. Zirilli
(you can buy it in electronic format at http://www.mjfutures.com/Book.htm)
|
Constructor Summary |
DeltaNormPlugIn()
Creates a new instance of DeltaNormPlugin |
|
Method Summary |
protected double |
calculatePVW(int delay,
int serie)
|
protected boolean |
convert(int serie)
Applies the conversion on the Nth serie of the buffered pattern data. |
protected double |
funcDelta(int index,
int delay,
int serie)
Calculates f(i,delay) used by getDelta
>>>> This method can be overriden in order to implement
different volatility window algorithms |
protected double |
getDelta(int index,
int delay,
int serie,
boolean abs)
|
private double[] |
getProbVolWin()
Getter for property probVolWin, the
array containing the Probability Volatility Window |
| Methods inherited from class org.joone.util.AbstractConverterPlugIn |
addPlugIn, addPlugInListener, apply, applyOnColumns, applyOnRows, cascade, check, convertPatterns, dataChanged, fireDataChanged, getAdvancedSerieSelector, getInputVector, getName, getNextPlugIn, getPluginListeners, getSerieIndexNumber, getSerieSelected, getValuePoint, isConnected, removeAllPlugIns, removePlugInListener, setAdvancedSerieSelector, setConnected, setInputVector, setName, setNextPlugin, setNextPlugIn |
| Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
serialVersionUID
private static final long serialVersionUID
- See Also:
- Constant Field Values
probVolWin
private transient double[] probVolWin
DeltaNormPlugIn
public DeltaNormPlugIn()
- Creates a new instance of DeltaNormPlugin
convert
protected boolean convert(int serie)
- Description copied from class:
AbstractConverterPlugIn
- Applies the conversion on the Nth serie of the buffered pattern data. The method is abstract
and should be overridden by the implementing class. Implementing classes can obtain the
input patterns by calling the
AbstractConverterPlugIn.getInputVector() 55 method. The result is a
Vector of Pattern objects which this method should use by converting
the requested serie.
- Specified by:
convert in class AbstractConverterPlugIn
calculatePVW
protected double calculatePVW(int delay,
int serie)
getDelta
protected double getDelta(int index,
int delay,
int serie,
boolean abs)
funcDelta
protected double funcDelta(int index,
int delay,
int serie)
- Calculates f(i,delay) used by getDelta
>>>> This method can be overriden in order to implement
different volatility window algorithms
getProbVolWin
private double[] getProbVolWin()
- Getter for property probVolWin, the
array containing the Probability Volatility Window
JAVADOC | 
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