A Cluster Analysis of Stock Market Data Using Hierarchical SOMs

2016

The analysis of stock markets has become relevant mainly because of its financial implications. In this paper, we propose a novel methodology for performing a structured cluster analysis of stock market data. Our proposed method uses a tree-based neural network called the TTOSOM. The TTOSOM performs self-organization to construct tree-based clusters of vector data in the multi-dimensional space. The resultant tree possesses interesting mathematical properties such as a succinct representation of the original data distribution, and a preservation of the underlying topology. In order to demonstrate the capabilities of our method, we analyze 206 assets of the Italian stock market. We were able…