| Presentation | 2012-01-26 Cluster analysis and Gaussian mixture estimation of correlated time-series by means of multi-dimensional scaling Takero IBUKI, Sei SUZUKI, Jun-ichi INOUE, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this paper, we investigate cross-correlations between typical Japanese stocks collected through Yahoo!Japan website (http://finance.yahoo.co.jp/). By making use of multi-dimensional scaling (MDS) for the cross-correlation matrices, we draw two-dimensional scattered plots in which each point corresponds to each stock. To make a clustering for these data plots, we utilize the mixture of Gaussians to fit the data set to several Gaussian densities. By minimizing the so-called Akaike Information Criterion (AIC) with respect to parameters in the mixture, we attempt to specify the best possible mixture of Gaussians. It might be naturally assumed that all the two-dimensional Gaussians shrink into a single small region when some economic crisis takes place. The justification of this assumption is numerically checked for the empirical Japanese stock data, for instance, those around 11 March 2011. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time series analysis / Cross-correlation function / Multi-dimensional scaling / Data visualization / Mixture of Gaussians / AIC / Simulated annealing / EM algorithm / Stock market analysis |
| Paper # | NC2011-106 |
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| Conference Information | |
| Committee | NC |
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| Conference Date | 2012/1/19(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Neurocomputing (NC) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Cluster analysis and Gaussian mixture estimation of correlated time-series by means of multi-dimensional scaling |
| Sub Title (in English) | |
| Keyword(1) | Time series analysis |
| Keyword(2) | Cross-correlation function |
| Keyword(3) | Multi-dimensional scaling |
| Keyword(4) | Data visualization |
| Keyword(5) | Mixture of Gaussians |
| Keyword(6) | AIC |
| Keyword(7) | Simulated annealing |
| Keyword(8) | EM algorithm |
| Keyword(9) | Stock market analysis |
| 1st Author's Name | Takero IBUKI |
| 1st Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University() |
| 2nd Author's Name | Sei SUZUKI |
| 2nd Author's Affiliation | Aoyama-Gakuin University |
| 3rd Author's Name | Jun-ichi INOUE |
| 3rd Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University |
| Date | 2012-01-26 |
| Paper # | NC2011-106 |
| Volume (vol) | vol.111 |
| Number (no) | 419 |
| Page | pp.pp.- |
| #Pages | 6 |
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