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A Framework for State Transitions on the Self-Organizing Map: Some Temporal Financial Applications

Peter Sarlin, Zhiyuan Yao, Tomas Eklund, A Framework for State Transitions on the Self-Organizing Map: Some Temporal Financial Applications. Intelligent Systems in Accounting, Finance and Management 19(1), 189–203, 2012.

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.

BibTeX entry:

@ARTICLE{jSaYaEk12a,
  title = {A Framework for State Transitions on the Self-Organizing Map: Some Temporal Financial Applications},
  author = {Sarlin, Peter and Yao, Zhiyuan and Eklund, Tomas},
  journal = {Intelligent Systems in Accounting, Finance and Management},
  volume = {19},
  number = {1},
  publisher = {Wiley-Blackwell},
  pages = {189–203},
  year = {2012},
  keywords = {state transitions; self-organizing map (SOM); temporal data; financial institutions; currency crises},
}

Belongs to TUCS Research Unit(s): Data Mining and Knowledge Management Laboratory

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