TITLE:
Clustering Analysis of Stocks of CSI 300 Index Based on Manifold Learning
AUTHORS:
Ruiling Liu, Hengjin Cai, Cheng Luo
KEYWORDS:
Manifold Learning; Isomap; Nonlinear Dimensionality Reduction; Stock Clustering
JOURNAL NAME:
Journal of Intelligent Learning Systems and Applications,
Vol.4 No.2,
May
23,
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 paper, 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 dimensionality of stock data successfully, but also classifies most stocks according to their trends efficiently.