| 主曲线异常检测及其在股票市场中的应用 |
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| 引用本文： | 齐红威,张军平,王珏. 主曲线异常检测及其在股票市场中的应用[J]. 计算机研究与发展, 2005, 42(8): 1306-1311 |
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| 作者姓名： | 齐红威 张军平 王珏 |
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| 作者单位： | 中国科学院自动化研究所复杂系统与智能科学重点实验室,北京,100080;中国科学院计算技术研究所数字化技术研究室,北京,100080;中国科学院自动化研究所复杂系统与智能科学重点实验室,北京,100080 |
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| 基金项目： | 国家“九七三”重点基础研究发展规划基金项目（G1998030500） |
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| 摘 要： | 复杂领域中，异常检测的困难是异常信息和正常信息高度混杂，针对此问题，提出了基于方差的异常检测模型（variance-based outlier detection model，VODM）．此模型把数据集的信息分解为正常信息和异常信息两部分，使得在正常信息损失最小的目标下，异常点集合就是前k个包含最多异常信息的样本．VODM只是一种检测异常的理论框架，为此，采用主曲线作为其实现算法．股票市场中异常收益检测的实验表明，VODM及其算法是有效的．
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| 关 键 词： | 异常检测 主曲线 股票市场 |
| 收稿时间： | 2004-10-27 |
| 修稿时间： | 2004-10-27 |
A Principal Curve-Based Outlier Detection Model and Its Application in Stock Market |
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| Qi Hongwei,Zhang Junping,Wang Jue. A Principal Curve-Based Outlier Detection Model and Its Application in Stock Market[J]. Journal of Computer Research and Development, 2005, 42(8): 1306-1311 |
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| Authors: | Qi Hongwei Zhang Junping Wang Jue |
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| Abstract: | To solve the outlier detection problems where outliers highly intermix with normal data, a general variance-based outlier detection model (VODM) is presented, in which the information of data is decomposed into normal and abnormal components according to their variances.With minimal loss of normal information in the model, outliers are viewed as the top k samples holding maximal abnormal information in a dataset.The VODM is a theoretical framework, and then, the principal curve is introduced as an algorithm of it.Experiments carried out on abnormal returns detection in stock market show that the VODM is feasible. |
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| Keywords: | outlier detection principal curve stock market |
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