@Test
public void testDirectLearning() throws Exception {
final String symbols[] = new String[] {"BBVA.MC", "BKIA.MC", "BKT.MC", "BME.MC", "SAN.MC"};
final CalUtils.InstantGenerator instantGenerator = new LocalTimeMinutes(5);
final double coreDailyVols[][] =
new double[][] {
new double[] {
55219, 262256, 202661, 218359, 178244, 99610, 92348, 124795, 214370, 153854, 204116,
173501, 85390, 156835, 108070, 23755, 118573, 70117, 55768, 52643, 71485, 407645,
442909, 129109, 188896, 79590, 422121, 290067, 227955, 69257, 41634, 446002, 579188,
86237, 1606794, 83676, 166393, 84987, 875905, 117013, 399084, 116190, 149507, 207221,
60857, 155612, 448006, 198637, 67695, 65423, 180038, 88774, 80273, 86065, 85231, 38867,
29330, 116353, 26887, 34170, 102518, 72246, 21274, 70752, 37912, 49367, 100472, 49461,
41735, 45795, 36578, 311945, 249039, 70487, 121906, 136424, 195136, 166308, 331734,
343180, 419616, 104613, 1354058, 162678, 141067, 147039, 149115, 271162, 543989, 184421,
340679, 201939, 293860, 171035, 263964, 260198, 428087, 565126, 385874, 547890, 384416,
256696, 0, 4738359
},
new double[] {
1298630, 678084, 488607, 224766, 434263, 356933, 576571, 219236, 252805, 414776, 166828,
174665, 146281, 110944, 145234, 179739, 253111, 175685, 64925, 216682, 494507, 100205,
67371, 101019, 158026, 316281, 334067, 954850, 115547, 163051, 130303, 107600, 1407996,
90357, 110452, 451866, 238004, 3096215, 2672803, 190170, 111282, 107135, 453389, 60821,
98292, 1310864, 1132267, 241907, 89915, 175676, 61621, 521553, 212388, 288651, 193578,
272161, 256777, 236382, 802159, 230248, 387068, 160647, 106999, 391933, 465080, 374577,
340378, 330708, 416320, 200347, 251986, 336664, 311970, 600559, 508011, 922379, 311581,
352459, 508727, 159316, 1355635, 246541, 389672, 805957, 370754, 382556, 316971, 564228,
437166, 277733, 1284505, 1763095, 169661, 280682, 969102, 540315, 451895, 308036,
715130, 642966, 981563, 900778, 0, 7155528
},
new double[] {
679280, 229518, 346536, 347215, 316025, 313890, 235844, 199995, 1920617, 129356, 172084,
207860, 317578, 10369008, 480990, 1403537, 1021730, 156125, 94833, 366987, 145687,
322957, 328120, 66657, 176001, 271003, 133121, 558624, 264638, 638663, 165080, 129439,
5126344, 5438632, 248806, 250616, 112716, 54523, 198097, 67772, 1414565, 244509, 246205,
151540, 98584, 51217, 94193, 111763, 104726, 45880, 64242, 78893, 60706, 48117, 133085,
101941, 5103803, 5084823, 168230, 75537, 815036, 73409, 422412, 437127, 115802, 326536,
54707, 81759, 94420, 208637, 50361, 1458556, 84257, 129114, 54632, 105873, 57165, 77578,
233302, 195560, 134194, 180928, 140433, 123154, 221422, 339866, 1343886, 114699, 170052,
150679, 181731, 160943, 192590, 125556, 132656, 154740, 320932, 140929, 117889, 381656,
393635, 306177, 0, 21629250
},
new double[] {
526909, 167180, 199570, 149154, 142141, 320881, 223750, 102275, 258400, 202197, 120202,
93404, 178631, 106401, 346186, 231729, 163656, 1622531, 125689, 2656587, 5336032,
2385985, 335692, 86118, 130551, 99047, 81695, 98846, 238413, 4831684, 293262, 124652,
106642, 112048, 14284646, 111209, 2204635, 128940, 83395, 134816, 116320, 65412, 165020,
126511, 92217, 111751, 47320, 82219, 19044177, 70827, 21676, 211214, 103108, 22771,
61629, 4816563, 63806, 33989, 130104, 146897, 15046441, 44977, 40889, 54584, 54591,
76634, 238536, 68583, 110591, 75012, 503760, 209479, 217929, 86397, 102284, 81878,
252785, 135884, 129149, 112760, 266851, 110863, 67866, 55205, 150165, 699438, 184450,
270270, 4270036, 345303, 895116, 217142, 145398, 301231, 10260595, 136317, 442910,
371357, 189023, 538928, 438973, 926728, 9137, 8879481
},
new double[] {
1318228, 1391326, 574558, 441739, 719144, 522626, 404351, 383602, 490710, 284952,
2984474, 216339, 10220195, 247067, 166223, 224310, 10181837, 126161, 9764418, 692337,
25907353, 1518741, 1179929, 120730, 10173292, 290045, 19824327, 402527, 277859, 3116841,
7164061, 332021, 10560006, 2334129, 121753, 200177, 246402, 10106648, 1137272, 2084673,
461849, 125108, 465907, 156972, 139083, 127389, 237263, 311691, 156536, 155322, 133368,
329715, 256088, 116835, 5192615, 823762, 183836, 1110239, 2414836, 385072, 599637,
387285, 291580, 2796924, 12977051, 338582, 884415, 525622, 322587, 223348, 668858,
143039, 627590, 239797, 232788, 256503, 209425, 375474, 558106, 290991, 1176648, 286550,
149539, 297435, 602136, 152733, 212363, 178992, 179644, 295428, 933636, 349405, 660749,
226061, 868852, 318539, 469303, 538061, 273643, 444084, 347730, 825808, 12011, 7792372
}
};
// Complete data with not-open-market moments represented as NaN.
final double[][] synthesizedDailyVols =
new double[coreDailyVols.length][instantGenerator.maxInstantValue()];
final Calendar openTime = Calendar.getInstance();
final int n = 9 * 60 / 5;
final int m = n + coreDailyVols[0].length;
for (int i = 0; i < 5; i++) {
for (int j = 0; j < n; j++) {
synthesizedDailyVols[i][j] = Double.NaN;
}
for (int j = 0; j < coreDailyVols[i].length; j++) {
synthesizedDailyVols[i][j + n] = coreDailyVols[i][j];
}
for (int j = m; j < instantGenerator.maxInstantValue(); j++) {
synthesizedDailyVols[i][j] = Double.NaN;
}
}
final PredictorListener predictor =
new PCAVolumeProfileConsideringMarketPredictor(instantGenerator, 0.0d, symbols);
final Calendar moment = Calendar.getInstance();
moment.setTime(new SimpleDateFormat("yyyy-MM-dd hh:mm:ss").parse("2011-10-26 00:00:00"));
for (int i = 0; i < synthesizedDailyVols[0].length; i++) {
final double binData[] = new double[5];
final Calendar now = (Calendar) moment.clone();
for (int j = 0; j < 5; j++) {
binData[j] = synthesizedDailyVols[j][i];
}
predictor.learnVector(now, binData);
moment.add(Calendar.MINUTE, 5);
}
final Calendar predictionMoment = Calendar.getInstance();
predictionMoment.setTime(
new SimpleDateFormat("yyyy-MM-dd hh:mm:ss").parse("2011-10-27 00:00:00"));
final double prediction[] = predictor.predictVector(predictionMoment);
double sum = 0;
for (int i = 0; i < prediction.length; i++) {
if (!Double.isNaN(prediction[i])) {
sum += prediction[i];
}
}
// Check if prediction sums 100
assertEquals(sum, 100.0d, 0.000001d);
// Check if there is no negative values
for (int i = 0; i < prediction.length; i++) {
if (!Double.isNaN(prediction[i])) {
assertEquals(true, prediction[i] >= 0);
}
}
// Check the whole prediction
final double coreExpectedPrediction[] =
new double[] {
1.9288035, 1.5177448, 0.9332691, 0.6917373, 0.9226087, 0.7836382,
0.7738424, 0.5111597, 1.1244135, 0.6359005, 0.5037461, 0.4346380,
0.4012883, 0.4283590, 0.5155573, 0.6262221, 0.6433344, 1.0639806,
0.1995134, 0.6614736, 0.7967144, 1.3838254, 1.3177505, 0.2612888,
0.3982873, 0.4867157, 0.7851480, 1.1897632, 0.5728564, 0.5297141,
0.4111288, 0.7186205, 1.6064740, 0.3591866, 0.2788936, 0.5225355,
0.4710717, 0.3902378, 1.6495111, 0.8969267, 1.0190033, 0.2823669,
0.7617028, 0.3711431, 0.2148944, 1.0168186, 1.2270160, 0.5254874,
0.2223704, 0.2518789, 0.2597858, 0.6560785, 0.3639917, 0.2926088,
0.2736937, 0.6651141, 0.2898492, 0.8638302, 1.1774701, 0.4286046,
0.8646737, 0.3718615, 0.3104019, 0.5365190, 0.4799254, 0.5199251,
0.8793190, 0.5422813, 0.4963591, 0.3227974, 0.7813186, 0.9484949,
0.8559482, 0.5814706, 0.5639950, 0.8369635, 0.5824984, 0.6162544,
0.9984222, 0.6363279, 1.9798710, 0.4541408, 0.4314029, 0.8058571,
0.7680111, 0.8377700, 0.7831125, 0.8088483, 1.0056747, 0.6680795,
2.06074038, 1.2474098, 0.8186405, 0.5901474, 1.4477580, 0.8018070,
1.1874030, 1.1958628, 1.0192618, 1.4630908, 1.4049921, 1.7359802,
0.0000000, 22.2667882
};
final double synthesizedExpectedPrediction[] = new double[instantGenerator.maxInstantValue()];
for (int j = 0; j < n; j++) {
synthesizedExpectedPrediction[j] = Double.NaN;
}
for (int j = 0; j < coreExpectedPrediction.length; j++) {
synthesizedExpectedPrediction[j + n] = coreExpectedPrediction[j];
}
for (int j = m; j < instantGenerator.maxInstantValue(); j++) {
synthesizedExpectedPrediction[j] = Double.NaN;
}
assertEquals(prediction.length, synthesizedExpectedPrediction.length);
for (int i = 0; i < prediction.length; i++) {
assertEquals(prediction[i], synthesizedExpectedPrediction[i], 0.0001d);
}
System.out.println("Ok");
}
public int generate(final Calendar when) {
return (when.get(Calendar.HOUR_OF_DAY) * 60 + when.get(Calendar.MINUTE)) / minutes;
}