clustering analysis of stocks of csi 300 index based on manifold learning聚类分析的股票的csi 300指数基于流形学习.pdfVIP

Journal of Intelligent Learning Systems and Applications, 2012, 4, 120-126 / 10.4236/jilsa.2012.42011 Published Online May 2012 (http://www.SciRP.org/journal/jilsa) Clustering Analysis of Stocks of CSI 300 Index Based on Manifold Learning 1 1* 1,2 Ruiling Liu , Hengjin Cai , Cheng Luo 1International School of Software, Wuhan University, Wuhan, China; 2Institute of High Energy Physics, Chinese Academy of Sciences, Beijing, China. * Email: hjcai@ Received November 5th, 2011; revised March 2nd, 2012; accepted March 10th, 2012 ABSTRACT As an effective way in finding the underlying parameters of a high-dimension space, manifold learning is popular in nonlinear dimensionality reduction which makes high-dimensional data easily to be observed and analyzed. In this pa- per, Isomap, one of the most famous manifold learning algorithms, is applied to process closing prices of stocks of CSI 300 index from September 2009 to October 2011. Results indicate that Isomap algorithm not only reduces dimensiona- lity of stock data successfully, but also classifies most stocks according to their trends efficiently. Keywords: Manifold Learning; Isomap; Nonlinear Dimensionality Reduction; Stock Clustering 1. Introduction ment is volatile and uncertain. But from stock charts, difference of trends between different stocks reflects on Clustering analysis of stocks is necessary when investi- their price, whether they are rising or dropping and the gating in stocks, Yu and Wang [1] proposed an approach degree of their movements. That is to say, though stock in whi