Analysis of data clusters obtained by self-organizing methods

The self-organizing methods were used for the investigation of financial market. As an example we consider data time-series of Dow Jones index for the years 2002–2003 (R. Mantegna, cond-mat/9802256). In order to reveal new structures in stock market behavior of the companies drawing up Dow Jones index we apply self-organizing maps (SOM) and group method of data handling (GMDH) algorithms. Using SOM techniques we obtain SOM-maps that establish a new relationship in market structure. Analysis of the obtained clusters was made by GMDH.