IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v341y2004icp547-555.html
   My bibliography  Save this article

Analysis of data clusters obtained by self-organizing methods

Author

Listed:
  • Gafiychuk, V.V
  • Datsko, B.Yo
  • Izmaylova, J

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 self-organizing maps (SOM) and group method of data handling (GMDH) 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.

Suggested Citation

  • Gafiychuk, V.V & Datsko, B.Yo & Izmaylova, J, 2004. "Analysis of data clusters obtained by self-organizing methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 547-555.
    • Handle: RePEc:eee:phsmap:v:341:y:2004:i:c:p:547-555
    DOI: 10.1016/j.physa.2004.04.115
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437104005473
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2004.04.115?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    2. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mario González & María del Mar Alonso-Almeida & David Dominguez, 2018. "Mapping global sustainability report scoring: a detailed analysis of Europe and Asia," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(3), pages 1041-1055, May.
    2. Juan Brida & Wiston Risso, 2010. "Dynamics and Structure of the 30 Largest North American Companies," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 85-99, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gorban, Alexander N. & Smirnova, Elena V. & Tyukina, Tatiana A., 2010. "Correlations, risk and crisis: From physiology to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3193-3217.
    2. Trindade, Graça & Dias, José G. & Ambrósio, Jorge, 2017. "Extracting clusters from aggregate panel data: A market segmentation study," Applied Mathematics and Computation, Elsevier, vol. 296(C), pages 277-288.
    3. Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli, 2015. "Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-16, July.
    4. João A. Bastos & Jorge Caiado, 2014. "Clustering financial time series with variance ratio statistics," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2121-2133, December.
    5. Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," Papers 2112.06544, arXiv.org.
    6. Shamshuritawati Sharif, 2012. "Correlation Network Analysis of International Postgraduate Students’ Satisfaction in Top Malaysian Universities: A Robust Approach," Modern Applied Science, Canadian Center of Science and Education, vol. 6(12), pages 1-91, December.
    7. López Pérez, Mario & Mansilla Corona, Ricardo, 2022. "Ordinal synchronization and typical states in high-frequency digital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    8. Ivan S. Maksymov, 2023. "Analogue and Physical Reservoir Computing Using Water Waves: Applications in Power Engineering and Beyond," Energies, MDPI, vol. 16(14), pages 1-26, July.
    9. Peng Yue & Qing Cai & Wanfeng Yan & Wei-Xing Zhou, 2020. "Information flow networks of Chinese stock market sectors," Papers 2004.08759, arXiv.org.
    10. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
    11. Brida, Juan Gabriel & London, Silvia & Rojas, Mara, 2012. "Convergencia interregional en dinámica de regimenes: el caso del Mercosur [Regional convergence of dynamic of regimens: the case of Mercosur]," MPRA Paper 36863, University Library of Munich, Germany.
    12. Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 157-180.
    13. Christophe Chorro & Emmanuelle Jay & Philippe De Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Documents de travail du Centre d'Economie de la Sorbonne 21013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    14. Bertrand M. Roehner, 2004. "Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock," Papers cond-mat/0406704, arXiv.org.
    15. Castagna, Alina & Chentouf, Leila & Ernst, Ekkehard, 2017. "Economic vulnerabilities in Italy: A network analysis using similarities in sectoral employment," GLO Discussion Paper Series 50, Global Labor Organization (GLO).
    16. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler, 2011. "Measuring globalization: A hierarchical network approach," CREMA Working Paper Series 2011-11, Center for Research in Economics, Management and the Arts (CREMA).
    17. Materassi, Donatello & Innocenti, Giacomo, 2009. "Unveiling the connectivity structure of financial networks via high-frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3866-3878.
    18. Tiziana Di Matteo & Tomaso Aste, 2002. "How Does The Eurodollar Interest Rate Behave?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 107-122.
    19. Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
    20. Teh, Boon Kin & Goo, Yik Wen & Lian, Tong Wei & Ong, Wei Guang & Choi, Wen Ting & Damodaran, Mridula & Cheong, Siew Ann, 2015. "The Chinese Correction of February 2007: How financial hierarchies change in a market crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 225-241.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:341:y:2004:i:c:p:547-555. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.