Application of Cluster Analysis Performed by SOM Neural Network to the Creation of Financial Transaction Strategies

• Autorzy: Morajda J. , Domaradzki R.
• Języki publikacji: EN

Abstrakty

EN

The authors propose a method of construction of transaction strategies in capital markets, which utilizes a Kohonen neural network called also self-organizing map (SOM). This network is applied for cluster analysis of input vectors that describe particular states of a stock market. The presented approach is quite different than typical neural techniques used for financial markets modeling or prediction, as it utilizes a network trained with an unsupervised method. The paper submits also the research concerning the effectiveness of the described method, based on analysis of active investment strategy for stocks of KGHM (Polish mining and metallurgy corporation).

Słowa kluczowe

EN

Kohonen neural network; self-organizing map; financial prediction; transaction strategy

• Wydawca: Wydawnictwo Politechniki Łódzkiej
• Czasopismo: Journal of Applied Computer Science
• Rocznik: 2005
• Tom: Vol. 13, nr 1
• Strony: 87--98
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Morajda J.

• Cracow University of Economics, Faculty of Computer Science, Rakowicka 27, 31-510 Cracow, Poland

autor

Domaradzki R.

• University of Mining and Metallurgy, Mickiewicza 30, 30-059 Cracow, Poland

Bibliografia

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