Uni v ariate time series anal y sis VISU AL IZIN G TIME SE R IE S - - PowerPoint PPT Presentation

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Dec 11, 2023 36 likes •303 views

Uni v ariate time series anal y sis VISU AL IZIN G TIME SE R IE S DATA IN R Arna u d Amsellem Q u antitati v e Trader and creator of the R Trader blog Uni v ariate time series anal y sis VISUALIZING TIME SERIES DATA IN R Uni v ariate time

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Univariate time series analysis

VISU AL IZIN G TIME SE R IE S DATA IN R

Arnaud Amsellem

Quantitative Trader and creator of the R Trader blog

SLIDE 2

VISUALIZING TIME SERIES DATA IN R

Univariate time series analysis

SLIDE 3

VISUALIZING TIME SERIES DATA IN R

Univariate time series analysis

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VISUALIZING TIME SERIES DATA IN R

Univariate time series analysis

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VISUALIZING TIME SERIES DATA IN R

Amazon stock price

In their standard form, most time series do not exhibit the right statistical properties Example: stock with strong upward trend

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VISUALIZING TIME SERIES DATA IN R

Amazon stock return

Amazon stock return is a random series centered around 0

SLIDE 7

Let's practice!

VISU AL IZIN G TIME SE R IE S DATA IN R

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Other visualization tools

VISU AL IZIN G TIME SE R IE S DATA IN R

Arnaud Amsellem

Quantitative Trader and creator of the R Trader blog

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VISUALIZING TIME SERIES DATA IN R

Histograms

hist(amazon_stocks, breaks = 20, main = "AMAZON return distribution \\n Jan. 2015 to Jan. 2017" xlab = "")

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

boxplot(amazon_stocks, horizontal = TRUE, main = "AMAZON return distribution \\n Jan. 2015 to Jan. 2017")

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

boxplot(amazon_stocks, horizontal = TRUE, main = "AMAZON return distribution \\n Jan. 2015 to Jan. 2017")

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

boxplot(amazon_stocks, horizontal = TRUE, main = "AMAZON return distribution \\n Jan. 2015 to Jan. 2017")

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VISUALIZING TIME SERIES DATA IN R

Autocorrelation

acf(amazon_stocks, main = "AMAZON return autocorrelations \\n Jan. 2015 to Jan. 2017")

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VISUALIZING TIME SERIES DATA IN R

QQ-plot

qqnorm(amazon_stocks, main = "AMAZON return QQ-plot \\n Jan. 2015 to Jan. 2017") qqline(amazon_stocks, col = "red")

SLIDE 15

Let's practice!

VISU AL IZIN G TIME SE R IE S DATA IN R

SLIDE 16

How to use everything we learned so far?

VISU AL IZIN G TIME SE R IE S DATA IN R

Arnaud Amsellem

Quantitative Trader and creator of the R Trader blog

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VISUALIZING TIME SERIES DATA IN R

Histograms

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VISUALIZING TIME SERIES DATA IN R

Histograms

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VISUALIZING TIME SERIES DATA IN R

Histograms

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

Median return of 0 Outliers

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

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VISUALIZING TIME SERIES DATA IN R

Box and whisker

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VISUALIZING TIME SERIES DATA IN R

Autocorrelation

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VISUALIZING TIME SERIES DATA IN R

QQ-plot

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VISUALIZING TIME SERIES DATA IN R

QQ-plot

SLIDE 26

Let's practice!

VISU AL IZIN G TIME SE R IE S DATA IN R