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基于成像特征的金融时间序列聚类。

Imaging feature-based clustering of financial time series.

机构信息

School of Mathematics, Physics and Optical Engineering, Hubei University of Automotive Technology, Shi Yan, China.

Hubei Key Laboratory of Applied Mathematics, Faculty of Mathematics and Statistics, Hubei University, Wuhan, China.

出版信息

PLoS One. 2023 Jul 26;18(7):e0288836. doi: 10.1371/journal.pone.0288836. eCollection 2023.

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.

摘要

时间序列表示是我们理解和预测自然系统变化的能力的基础。序列通常基于我们选择高度冗余的因素,而实际上,系统是由一小部分潜在的内在关键因素驱动的。这意味着更好的数据表示可以使相空间中的点对于研究人员来说更加清晰。特别是,时间序列的二维结构可以将时间序列中不同时期的趋势和相关性特征结合在一起,为主要任务提供更清晰的信息。在这项工作中,时间序列的二维结构的有效性在聚类任务中进行了研究。在分析中采用了四种方法:递归图(RP)、Gramian Angular Summation Field(GASF)、Gramian Angular Differential Field(GADF)和Markov Transition Field(MTF)。通过对 CSI300 和 S&P500 指数进行分类,我们发现 RP 成像序列在识别金融时间序列的异常波动方面是有效的,因为聚类的轮廓值超过 0.6 到 1。与分段方法相比,二维模型的不稳定性值最低,为 0。这验证了 RP 图像的 SIFT 特征有利于聚类任务的金融序列的波动性。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/f497/10370745/703a6639ba50/pone.0288836.g001.jpg

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