| 基于滑动窗口的奇异点数据挖掘算法研究 |
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| 引用本文： | 付强,车文刚.基于滑动窗口的奇异点数据挖掘算法研究[J].江西科学,2011,29(2):273-276. |
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| 作者姓名： | 付强 车文刚 |
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| 作者单位： | 1. 昆明理工大学信息工程与自动化学院,云南昆明,650051
2. 昆明理工大学云南省计算机技术应用重点实验室,云南昆明,650051 |
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| 摘 要： | 在一条时间序列上与其它序列点存在显著差异的点,被称为奇异点.提出了一种基于滑动窗口的奇异点挖掘算法,该算法利用局部异常因子检测的方法检测出时间序列中的奇异点,再利用移动平均模型对奇异点的趋势进行判断,这样能更直观的看出奇异点对时问序列趋势的影响.通过对证券信息点和上证指数收盘点数构成的时间序列进行分析,结果表明该算法的...
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| 关 键 词： | 金融时间序列 滑动窗口 奇异点 趋势 |
Study on Isolated Singularity Data Mining Algorithm based on Sliding Window |
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| FU Qiang,CHE Wen-gang.Study on Isolated Singularity Data Mining Algorithm based on Sliding Window[J].Jiangxi Science,2011,29(2):273-276. |
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| Authors: | FU Qiang CHE Wen-gang |
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| Institution: | 1.School of Information Engineering and Automation, Kunming University of Science and Technology,Yunnan Kunming 650051 PRC; 2.Key Laboratory of Computer Technology and Application of Yunnan Province, Kunming University of Science and Technology,Yunnan Kunming 650051 PRC) |
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| Abstract: | Isolated Singularities are series points which are remarkably different from others in the Finance time series.This paper presents an Isolated Singularity mining algorithm based on slip window.The algorithm detects the isolated singularities in the finance time series using local outlier factor detecting method,then deduces the trend of the Isolated Singularity using the moving average model,by doing this we can make out the compact of the isolated singularity on trend of finance time series.By analyzing securities information and the time series composed by Shanghai stock exchange composite index,argues the rationality and validity of the algorithm. |
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| Keywords: | Finance time series Sliding window Isolated Singularity direction |
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