Analysis of Data Clusters Obtained by Self-Organizing Methods

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.Comment: 10 pages, 4 figure

Analysis of Data Clusters Obtained by Self-Organizing Methods

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.

usethesource/rascal-eclipse: 0.23.0

Eclipse IMP based IDE for the Rascal meta-programming language. See rascal project for Wiki, Issues and such