Stock Bubbles Nature: A Cluster Analysis of Chinese Shanghai A Share Based on SOM Neural Network

摘要：

The stock market bubbles present different properties in different economic environments and stages, and their impacts on the economic system are varied. In this paper, Self Organizing Map (SOM) and Principal Component Analysis (PCA) were employed to determine the property of the stock bubbles in Shanghai Stock Market from Jan-2000 to Apr-2008. The nature of the bubbles was interpreted by factor analysis from the aspects of macroeconomic, stock markets speculative intensity and dilatation. The factors analyses of bubbles explained the bubbles nature by the characters of Macroeconomic, Stock market speculative intensity and expansion. The outcome demonstrates that SOM may help to determine the property of the bubbles in stock market.

关键词： stock bubble the nature classification Principal Component Analysis Self Organizing Map

作者: Zhi Gao Xuchu XU

作者单位: School of Finance, Anhui University of Finance and Economics Bengbu, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 12-16

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）