Real time clustering of time series using triangular potentials

Motivated by the problem of computing investment portfolio weightings we investigate various methods of clustering as alternatives to traditional mean-variance approaches. Such methods can have significant benefits from a practical point of view since they remove the need to invert a sample covariance matrix, which can suffer from estimation error and will almost certainly be non-stationary. The general idea is to find groups of assets which share similar return characteristics over time and treat each group as a single composite asset. We then apply inverse volatility weightings to these new composite assets. In the course of our investigation we devise a method of clustering based on triangular potentials and we present associated theoretical results as well as various examples based on synthetic data.Comment: AIFU1

Soft clustering analysis of galaxy morphologies: A worked example with SDSS

Context: The huge and still rapidly growing amount of galaxies in modern sky surveys raises the need of an automated and objective classification method. Unsupervised learning algorithms are of particular interest, since they discover classes automatically. Aims: We briefly discuss the pitfalls of oversimplified classification methods and outline an alternative approach called "clustering analysis". Methods: We categorise different classification methods according to their capabilities. Based on this categorisation, we present a probabilistic classification algorithm that automatically detects the optimal classes preferred by the data. We explore the reliability of this algorithm in systematic tests. Using a small sample of bright galaxies from the SDSS, we demonstrate the performance of this algorithm in practice. We are able to disentangle the problems of classification and parametrisation of galaxy morphologies in this case. Results: We give physical arguments that a probabilistic classification scheme is necessary. The algorithm we present produces reasonable morphological classes and object-to-class assignments without any prior assumptions. Conclusions: There are sophisticated automated classification algorithms that meet all necessary requirements, but a lot of work is still needed on the interpretation of the results.Comment: 18 pages, 19 figures, 2 tables, submitted to A

Hierarchical classification for multiple, distributed web databases

The proliferation of online information resources increases the importance of effective and efficient distributed searching. Our research aims to provide an alternative hierarchical categorization and search capability based on a Bayesian network learning algorithm. Our proposed approach, which is grounded on automatic textual analysis of subject content of online web databases, attempts to address the database selection problem by first classifying web databases into a hierarchy of topic categories. The experimental results reported demonstrate that such a classification approach not only effectively reduces the class search space, but also helps to significantly improve the accuracy of classification performance