限价指令驱动市场中信息聚类分析模型研究Study on information clustering analysis model of limit order driven market
潘春玲
摘要(Abstract)：
针对传统限价指令驱动市场信息聚类分析不准确,且存在耗时长的问题,提出基于信息相似度计算的限价指令驱动市场中信息聚类分析模型。首先给出信息聚类模型的模块结构图,并导入限价指令驱动条例,以条例为制约,根据信息熵获取指标权重,计算信息相似度,将每一个带有趋向性的信息进行簇源追踪,对于远离簇中心的信息进行剥离,将剩下的信息重新赋予数据族编,实现信息聚类分析模型建立。实验数据表明,构建的信息聚类分析模型能够依据信息相似度进行同源信息的聚类,聚类分析准确度较高,且耗时较短。
关键词(KeyWords)： 限价指令;市场信息;聚类分析;相似度;信息分类;数据族编
基金项目(Foundation): 宁夏自然科学基金项目:限价指令驱动市场中信息含量与交易者行为分析(NZ1025)~~
作者(Author): 潘春玲
DOI: 10.16652/j.issn.1004-373x.2018.06.041
参考文献(References)：
- [1]王硕,李鹏程,杨宝臣.基于指令驱动市场EKOP模型的异质期望研究[J].管理科学,2016,29(3):123-135.WANG Shuo,LI Pengcheng,YANG Baochen.Heterogeneous expectations study based on EKOP model under order driven market[J].Journal of management science,2016,29(3):123-135.
- [2]邴涛,刘善存,张强,等.指令驱动市场中非知情交易者的最优交易策略[J].管理科学学报,2017,20(3):24-45.BING Tao,LIU Shancun,ZHANG Qiang,et al.The optimal trading strategy of uninformed traders in an order driven market[J].Journal of management sciences in China,2017,20(3):24-45.
- [3]刘翠霞,史代敏.基于关系聚类的动态面板数据模型及其应用研究[J].统计与信息论坛,2015,30(3):10-16.LIU Cuixia,SHI Daimin.Dynamic panel data model and its application based on structural relationships of clustering analysis[J].Statistics&information forum,2015,30(3):10-16.
- [4]谢洪安,李栋,苏旸,等.基于聚类分析的可信网络管理模型[J].计算机应用,2016,36(9):2447-2451.XIE Hong’an,LI Dong,SU Yang,et al.Trusted network management model based on clustering analysis[J].Journal of computer applications,2016,36(9):2447-2451.
- [5]李镇镇,李晓东,李飞,等.基于动态聚类分析和盲数理论的综合营养状态指数评价模型[J].环境工程学报,2015,9(4):2021-2026.LI Zhenzhen,LI Xiaodong,LI Fei,et al.Improved assessment model for comprehensive trophic state index based on dynamic cluster analysis and blind theory[J].Chinese journal of environmental engineering,2015,9(4):2021-2026.
- [6]李娜,王磊,张文月,等.基于高维数据优化聚类的长周期峰谷时段划分模型研究[J].现代电力,2016,33(4):67-71.LI Na,WANG Lei,ZHANG Wenyue,et al.Research on the partition model of long period peak and valley time based on high dimensional data clustering[J].Modern electric power,2016,33(4):67-71.
- [7]孙善武,王楠,欧阳丹彤.基于聚类分析的业务流程模型抽象[J].计算机科学,2016,43(5):193-197.SUN Shanwu,WANG Nan,OUYANG Dantong.Business process model abstraction based on cluster analysis[J].Computer science,2016,43(5):193-197.
- [8]迟志浩,于艳雪,周萍,等.基于有害生物集群的聚类分析在入侵生物定殖研究中的应用[J].中国植保导刊,2017,37(1):17-22.175CHI Zhihao,YU Yanxue,ZHOU Ping,et al.Application of clustering analysis based on invasive pest assemblage in invasive pest establishment[J].China plant protection,2017,37(1):17-22.
- [9]杨超宇,杨顶田.基于聚类分析算法的浮游植物吸收系数非线性模型[J].中国激光,2015,42(z1):244-249.YANG Chaoyu,YANG Dingtian.A non-linear model of phytoplankton absorption based on cluster analysis[J].Chinese journal of lasers,2015,42(S1):244-249.
- [10]陈玉川.物联网走进中国家庭的技术条件分析[J].物联网技术,2015,5(11):66-69.CHEN Yuchuan.Technical condition analysis for Internet of Things going into Chinese families[J].Internet of Things technologies,2015,5(11):66-69.