Imaging feature-based clustering of financial time series.
PLoS One
; 18(7): e0288836, 2023.
Article
en En
| MEDLINE
| ID: mdl-37494391
ABSTRACT
Timeseries representation underpin our ability to understand and predict the change of natural system. Series are often predicated on our choice of highly redundant factors, and in fact, the system is driven by a much smaller set of latent intrinsic keys. It means that a better representation of data makes points in phase space clearly for researchers. Specially, a 2D structure of timeseries could combine the trend and correlation characters of different periods in timeseries together, which provides more clear information for top tasks. In this work, the effectiveness of 2D structure of timeseries is investigated in clustering tasks. There are 4 kinds of methods that the Recurrent Plot (RP), the Gramian Angular Summation Field (GASF), the Gramian Angular Differential Field (GADF) and the Markov Transition Field (MTF) have been adopted in the analysis. By classifying the CSI300 and S&P500 indexes, we found that the RP imaging series are valid in recognizing abnormal fluctuations of financial timeseries, as the silhouette values of clusters are over 0.6 to 1. Compared with segment methods, the 2D models have the lowest instability value of 0. It verifies that the SIFT features of RP images take advantage of the volatility of financial series for clustering tasks.
Texto completo:
1
Bases de datos:
MEDLINE
Asunto principal:
Factores de Tiempo
Tipo de estudio:
Health_economic_evaluation
/
Prognostic_studies
Idioma:
En
Revista:
PLoS One
Asunto de la revista:
CIENCIA
/
MEDICINA
Año:
2023
Tipo del documento:
Article
País de afiliación:
China