Analysis of Data Clusters Obtained by Self-Organizing Methods
Adaptation and Self-Organizing Systems
2009-11-10 v3 Statistical Finance
Abstract
The self-organizing methods were used for the investigation of financial market. As an example we consider data time-series of Dow Jones index for the years 2002-2003 (R. Mantegna, cond-mat/9802256). In order to reveal new structures in stock market behavior of the companies drawing up Dow Jones index we apply SOM (Self-Organizing Maps) and GMDH (Group Method of Data Handling) algorithms. Using SOM techniques we obtain SOM-maps that establish a new relationship in market structure. Analysis of the obtained clusters was made by GMDH.
Cite
@article{arxiv.nlin/0402012,
title = {Analysis of Data Clusters Obtained by Self-Organizing Methods},
author = {V. V. Gafiychuk and B. Yo. Datsko and J. Izmaylova},
journal= {arXiv preprint arXiv:nlin/0402012},
year = {2009}
}
Comments
10 pages, 4 figures