Imaging feature-based clustering of financial time series

by Jun Wu, Zelin Zhang, Rui Tong, Yuan Zhou, Zhengfa Hu, Kaituo Liu

Timeseries representation underpin our ability to understand and predict the change of natural system. Series are often predicated on our choice of highly redundant factors, and in fact, the system is driven by a much smaller set of latent intrinsic keys. It means that a better representation of data makes points in phase space clearly for researchers. Specially, a 2D structure of timeseries could combine the trend and correlation characters of different periods in timeseries together, which provides more clear information for top tasks. In this work, the effectiveness of 2D structure of timeseries is investigated in clustering tasks. There are 4 kinds of methods that the Recurrent Plot (RP), the Gramian Angular Summation Field (GASF), the Gramian Angular Differential Field (GADF) and the Markov Transition Field (MTF) have been adopted in the analysis. By classifying the CSI300 and S&P500 indexes, we found that the RP imaging series are valid in recognizing abnormal fluctuations of financial timeseries, as the silhouette values of clusters are over 0.6 to 1. Compared with segment methods, the 2D models have the lowest instability value of 0. It verifies that the SIFT features of RP images take advantage of the volatility of financial series for clustering tasks.