在本论文中,我们将时间序列数据挖掘的方法应用到中日证券市场的比较问题中,并在聚类分析中定义新的函数以判别最优的分类数。我们发现:在指数收盘价时间序列比较方面,中日两个证券市场的确存在一定的相似性,但中国市场的短期波动要大于日本市场。因此,如果将日本证券市场的发展历史作为中国证券市场的事件库,不足以描述和预测中国证券市场的走势。同时,在中国证券市场上,深证成指比上证综指的短期波动幅度更大,具有更多的高频噪声。
Comparative Analysis of Stock Price Series Similarity Between China and Japan
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