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arXiv nlin/0402012nlin.AOq-fin.ST
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基于自组织方法的数据聚类分析

Analysis of Data Clusters Obtained by Self-Organizing Methods

V. V. Gafiychuk, B. Yo. Datsko, J. Izmaylova

摘要:

将自组织方法应用于金融市场的研究。作为一个例子,我们考虑的数据时间序列的道琼斯指数2002-2003年(R。Mantegna,cond-mat/9802256)。为了揭示道琼斯指数编制公司股票市场行为的新结构,我们应用SOM(自组织映射)和GMDH(数据处理的组方法)算法。使用SOM技术,我们获得SOM地图,建立一个新的关系,在市场结构。通过GMDH对所获得的簇进行分析。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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