Clustering Analysis of Stocks of CSI 300 Index Based on Manifold Learning

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..
International School of Software, Wuhan University, Wuhan, China.

DOI: 10.4236/jilsa.2012.42011                

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.

Keywords

Manifold Learning; Isomap; Nonlinear Dimensionality Reduction; Stock Clustering

Conflicts of Interest

The authors declare no conflicts of interest.

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