Multiway Similarity Approach Based on Divergence Functions and Smoothness Measure |
| R. Szupiluk and T. Sobon
Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland |
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| In this paper we present a novel similarity measure method for financial data. In our approach, we propose the assessment of the similarity in a coherent hierarchical and multi-faceted way, following the general scheme where various detailed basic measures may be used like the Fermi-Dirac divergence, Bose-Einstein divergence, or our new smoothness measure. The presented method is tested on benchmark and real stock markets data. |
DOI: 10.12693/APhysPolA.129.927 PACS numbers: 05.45.Tp, 05.40.Ca, 07.05.Kf, 07.05.Mh |