A Framework For State Transitions On The Self-Organizing Map: Some Temporal Financial Applications

Authors:
Peter Sarlin;Zhiyuan Yao;Tomas Eklund
Affiliations:
Turku Centre for Computer Science, Department of Information Technologies, Åbo Akademi University, Turku, Finland;Turku Centre for Computer Science, Department of Information Technologies, Åbo Akademi University, Turku, Finland;Turku Centre for Computer Science, Department of Information Technologies, Åbo Akademi University, Turku, Finland
Venue:
International Journal of Intelligent Systems in Accounting and Finance Management
Year:
2012

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Abstract

Self-organizing maps (SOMs) have commonly been used in temporal applications. This paper enhances the SOM paradigm for temporal data by presenting a framework for computing, summarizing and visualizing transition probabilities on the SOM. The framework includes computing matrices of node-to-node and node-to-cluster transitions and summarizing maximum state transitions. The computations are linked to the SOM grid using transition-plane visualizations. We demonstrate the usefulness of the framework on two SOM models for temporal financial analysis: financial performance comparison of banks and monitoring indicators of currency crises. Copyright © 2012 John Wiley & Sons, Ltd.