Eric Niebler wrote:
Jeff Garland wrote:
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.
Yep...just a suggestion for future expansion :)
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.
Well, here's the thing. In date-time the 'duration_type' and the 'point_in_time_type' are different. For example, with dates you have 'date' as the 'point_in_time' which is conceptually dimensionless and the duration_type 'day'. If you subtract 2 points in time you get a duration. So it's possible there would need to be a different type in the mix to make things work. Anyway, this will be a good experiment at some point. I'd do it myself if I only had more time.... ;-)
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.
Got it. Jeff