Re: [boost] [ANN] Boost.Time_series: feedback requested

From: Eric Niebler (eric_at_[hidden])
Date: 2006-12-11 22:33:25

Jeff Garland wrote:
> Eric Niebler wrote:
<snip>
>>
>> Any suggestions for improvements are most welcome.
>>
> 
> Hi Eric -
> 
> Looks very interesting.  Feedback here is based on extremely cursory look at 
> the docs.  And I'll say that I'm not a huge domain expert on the mathematics, 
> but I've run into some pretty simple time series in couple of apps over the years.
> 
> In particular, I'm sorta surprised there isn't a moving average algorithm as 
> that's time series algorithm with a really wide applicability.  Classic 
> example -- calculate a 10 day rolling average of the closing price of some 
> stock.  Or calculate a 20 minute rolling average of the trading prices or 
> quotes.  And, so on...there are all sorts of other applications for rolling 
> averages.

Yep, that'd be a nice one to have. As I say in the description, the 
library is light on algorithms at the moment; the key is the 
infrastructure that makes the algorithms possible.

> So now for the *other* question.  Am I correct in seeing that with the time
> series facade that I might be able to plug in a different offset_type?  

Yes.

Of
> course, what I'm thinking is for the stock price rolling average example above 
> you might want to use gregorian::date or posix_time::ptime to represent point 
> of measurement of the stock price.  I wasn't finding the requirements for the 
> offset_type...which is what I think would need to be replaced.

Right, I should document the requirements on the offset_type. The code 
has been tested with offset_types of int and double. I think the right 
concept for offset_type is LessThanComparible.

> I also find the Discretization intervals interesting. Is that a standard way 
> of handling the breakdown for statistical purposes?  The thing being that only 
> days and weeks are actually fixed lengths in the *messy world*...months, 
> quarters, etc are all different depending leap years and such.

The Discretization template parameter is mostly there just for type 
checking your operations. You don't want to be adding a daily series 
with a yearly one, because that doesn't make sense. The fact that some 
years are leap years doesn't matter for the purpose of type checking.

> Anyway, nice job as usual :-)

Thanks! :-)

-- 
Eric Niebler
Boost Consulting
www.boost-consulting.com