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Multiway Similarity Approach Based on Divergence Functions and Smoothness Measure

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In this paper we present a novel similarity measure method for financial data. In our approach, we propose the assessment of the similarity in a coherent hierarchical and multi-faceted way, following the general scheme where various detailed basic measures may be used like the Fermi-Dirac divergence, Bose-Einstein divergence, or our new smoothness measure. The presented method is tested on benchmark and real stock markets data.
  • Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland
  • Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland
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