基于ICA的时间序列聚类方法及其在股票数据分析中的应用

Time Series Clustering Based on ICA for Stock Data Analysis

时间序列聚类分析是时间序列数据挖掘中的重要任务之一,通常由于时间序列数据的特殊结构,导致一般的聚类算法不能直接应用于时间序列数据。本文提出了一种基于独立成分分析与改进k-均值算法相结合的时间序列聚类算法,该算法首先利用独立成分分析对时间序列数据进行特征提取,然后利用改进k-均值聚类算法完成对时间序列特征数据的聚类分析,从而得到了一种新的基于特征的时间序列聚类方法。为了验证该方法的有效性和可行性,将其应用于实际的股票时间序列数据聚类分析中,取得了较好的数值结果。

Time series clustering is an important task in time series data mining. Compared to traditional clustering problems, time series clustering poses additional difficulties. The unique structure of time series makes many traditional clustering methods unable to apply directly. This paper presents a novel feature-based approach to time series clustering, which first converts the raw time series data into feature vectors of lower dimension by u- sing ICA algorithm, and then applies a modified k-means algorithm to the extracted feature vectors. Finally, to validate effectiveness and feasibility of the presented method, we use it to analyze the real world stock time series data and achieve reasonable results.