Multiway Similarity Approach Based on Divergence Functions and Smoothness Measure

• Authors: R. Szupiluk , T. Sobon
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

05.45.Tp; 05.40.Ca; 07.05.Kf; 07.05.Mh

Discipline

• 05.40.Ca: Noise
• 05.45.Tp: Time series analysis
• 07.05.Mh: Neural networks, fuzzy logic, artificial intelligence
• 07.05.Kf: Data analysis: algorithms and implementation; data management(for data analysis in nuclear physics, see 29.85.-c)

• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 927-931

Dates

published

2016-05

Contributors

author

R. Szupiluk

• Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland

author

T. Sobon

• Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland

References

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Identifiers

DOI

10.12693/APhysPolA.129.927