State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

Using self organizing maps on compositional data

Self-organizing maps (Kohonen 1997) is a type of artificial neural network developedto explore patterns in high-dimensional multivariate data. The conventional versionof the algorithm involves the use of Euclidean metric in the process of adaptation ofthe model vectors, thus rendering in theory a whole methodology incompatible withnon-Euclidean geometries.In this contribution we explore the two main aspects of the problem:1. Whether the conventional approach using Euclidean metric can shed valid resultswith compositional data.2. If a modification of the conventional approach replacing vectorial sum and scalarmultiplication by the canonical operators in the simplex (i.e. perturbation andpowering) can converge to an adequate solution.Preliminary tests showed that both methodologies can be used on compositional data.However, the modified version of the algorithm performs poorer than the conventionalversion, in particular, when the data is pathological. Moreover, the conventional ap-proach converges faster to a solution, when data is \well-behaved".Key words: Self Organizing Map; Artificial Neural networks; Compositional data

Self-organizing propagation patterns from dynamic self-assembly in monolayers

Propagation of localized orientational waves, as imaged by Brewster angle microscopy, is induced by low intensity linearly polarized light inside axisymmetric smectic-C confined domains in a photosensitive molecular thin film at the air/water interface (Langmuir monolayer). Results from numerical simulations of a model that couples photoreorientational effects and long-range elastic forces are presented. Differences are stressed between our scenario and the paradigmatic wave phenomena in excitable chemical media.

Self-organizing propagation patterns from dynamic self-assembly in monolayers

Propagation of localized orientational waves, as imaged by Brewster angle microscopy, is induced by low intensity linearly polarized light inside axisymmetric smectic-C confined domains in a photosensitive molecular thin film at the air/water interface (Langmuir monolayer). Results from numerical simulations of a model that couples photoreorientational effects and long-range elastic forces are presented. Differences are stressed between our scenario and the paradigmatic wave phenomena in excitable chemical media.

Chemotaxonomy of three genera of the annonaceae family using self-organizing maps and 13C NMR data of diterpenes

The Annonaceae family is distributed throughout Neotropical regions of the world. In Brazil, it covers nearly all natural formations particularly Annona, Xylopia and Polyalthia and is characterized chemically by the production of sources of terpenoids (mainly diterpenes), alkaloids, steroids, polyphenols and, flavonoids. Studies from 13C NMR data of diterpenes related with their botanical occurrence were used to generate self-organizing maps (SOM). Results corroborate those in the literature obtained from morphological and molecular data for three genera and the model can be used to project other diterpenes. Therefore, the model produced can predict which genera are likely to contain a compound.

Using self organizing maps on compositional data

Self-organizing maps (Kohonen 1997) is a type of artificial neural network developed to explore patterns in high-dimensional multivariate data. The conventional version of the algorithm involves the use of Euclidean metric in the process of adaptation of the model vectors, thus rendering in theory a whole methodology incompatible with non-Euclidean geometries. In this contribution we explore the two main aspects of the problem: 1. Whether the conventional approach using Euclidean metric can shed valid results with compositional data. 2. If a modification of the conventional approach replacing vectorial sum and scalar multiplication by the canonical operators in the simplex (i.e. perturbation and powering) can converge to an adequate solution. Preliminary tests showed that both methodologies can be used on compositional data. However, the modified version of the algorithm performs poorer than the conventional version, in particular, when the data is pathological. Moreover, the conventional ap- proach converges faster to a solution, when data is \well-behaved". Key words: Self Organizing Map; Artificial Neural networks; Compositional data

Oriented texture classification based on self-organizing neural network and Hough transform

This paper presents a technique for oriented texture classification which is based on the Hough transform and Kohonen's neural network model. In this technique, oriented texture features are extracted from the Hough space by means of two distinct strategies. While the first operates on a non-uniformly sampled Hough space, the second concentrates on the peaks produced in the Hough space. The described technique gives good results for the classification of oriented textures, a common phenomenon in nature underlying an important class of images. Experimental results are presented to demonstrate the performance of the new technique in comparison, with an implemented technique based on Gabor filters.

Estimating the monthly pCO2 distribution in the North Atlantic using a self-organizing neural network

[EN] Here we present monthly, basin-wide maps of the partial pressure of carbon dioxide (pCO2) for the North Atlantic on a latitude by longitude grid for years 2004 through 2006 inclusive. The maps have been computed using a neural network technique which reconstructs the non-linear relationships between three biogeochemical parameters and marine pCO2. A self organizing map (SOM) neural network has been trained using 389 000 triplets of the SeaWiFSMODIS chlorophyll-a concentration, the NCEP/NCAR reanalysis sea surface temperature, and the FOAM mixed layer depth. The trained SOM was labelled with 137 000 underway pCO2 measurements collected in situ during 2004, 2005 and 2006 in the North Atlantic, spanning the range of 208 to 437atm. The root mean square error (RMSE) of the neural network fit to the data is 11.6?atm, which equals to just above 3 per cent of an average pCO2 value in the in situ dataset. The seasonal pCO2 cycle as well as estimates of the interannual variability in the major biogeochemical provinces are presented and discussed. High resolution combined with basin-wide coverage makes the maps a useful tool for several applications such as the monitoring of basin-wide air-sea CO2 fluxes or improvement of seasonal and interannual marine CO2 cycles in future model predictions. The method itself is a valuable alternative to traditional statistical modelling techniques used in geosciences.

A combined measure for quantifying and qualifying the topology preservation of growing self-organizing maps

The Self-OrganizingMap (SOM) is a neural network model that performs an ordered projection of a high dimensional input space in a low-dimensional topological structure. The process in which such mapping is formed is defined by the SOM algorithm, which is a competitive, unsupervised and nonparametric method, since it does not make any assumption about the input data distribution. The feature maps provided by this algorithm have been successfully applied for vector quantization, clustering and high dimensional data visualization processes. However, the initialization of the network topology and the selection of the SOM training parameters are two difficult tasks caused by the unknown distribution of the input signals. A misconfiguration of these parameters can generate a feature map of low-quality, so it is necessary to have some measure of the degree of adaptation of the SOM network to the input data model. The topologypreservation is the most common concept used to implement this measure. Several qualitative and quantitative methods have been proposed for measuring the degree of SOM topologypreservation, particularly using Kohonen's model. In this work, two methods for measuring the topologypreservation of the Growing Cell Structures (GCSs) model are proposed: the topographic function and the topology preserving map

Self-organizing cultured neural networks: Image analysis techniques for longitudinal tracking and modeling of the underlying network structure

Esta tesis estudia la evolución estructural de conjuntos de neuronas como la capacidad de auto-organización desde conjuntos de neuronas separadas hasta que forman una red (clusterizada) compleja. Esta tesis contribuye con el diseño e implementación de un algoritmo no supervisado de segmentación basado en grafos con un coste computacional muy bajo. Este algoritmo proporciona de forma automática la estructura completa de la red a partir de imágenes de cultivos neuronales tomadas con microscopios de fase con una resolución muy alta. La estructura de la red es representada mediante un objeto matemático (matriz) cuyos nodos representan a las neuronas o grupos de neuronas y los enlaces son las conexiones reconstruidas entre ellos. Este algoritmo extrae también otras medidas morfológicas importantes que caracterizan a las neuronas y a las neuritas. A diferencia de otros algoritmos hasta el momento, que necesitan de fluorescencia y técnicas inmunocitoquímicas, el algoritmo propuesto permite el estudio longitudinal de forma no invasiva posibilitando el estudio durante la formación de un cultivo. Además, esta tesis, estudia de forma sistemática un grupo de variables topológicas que garantizan la posibilidad de cuantificar e investigar la progresión de las características principales durante el proceso de auto-organización del cultivo. Nuestros resultados muestran la existencia de un estado concreto correspondiente a redes con configuracin small-world y la emergencia de propiedades a micro- y meso-escala de la estructura de la red. Finalmente, identificamos los procesos físicos principales que guían las transformaciones morfológicas de los cultivos y proponemos un modelo de crecimiento de red que reproduce el comportamiento cuantitativamente de las observaciones experimentales. ABSTRACT The thesis analyzes the morphological evolution of assemblies of living neurons, as they self-organize from collections of separated cells into elaborated, clustered, networks. In particular, it contributes with the design and implementation of a graph-based unsupervised segmentation algorithm, having an associated very low computational cost. The processing automatically retrieves the whole network structure from large scale phase-contrast images taken at high resolution throughout the entire life of a cultured neuronal network. The network structure is represented by a mathematical object (a matrix) in which nodes are identified neurons or neurons clusters, and links are the reconstructed connections between them. The algorithm is also able to extract any other relevant morphological information characterizing neurons and neurites. More importantly, and at variance with other segmentation methods that require fluorescence imaging from immunocyto- chemistry techniques, our measures are non invasive and entitle us to carry out a fully longitudinal analysis during the maturation of a single culture. In turn, a systematic statistical analysis of a group of topological observables grants us the possibility of quantifying and tracking the progression of the main networks characteristics during the self-organization process of the culture. Our results point to the existence of a particular state corresponding to a small-world network configuration, in which several relevant graphs micro- and meso-scale properties emerge. Finally, we identify the main physical processes taking place during the cultures morphological transformations, and embed them into a simplified growth model that quantitatively reproduces the overall set of experimental observations.

Self-organizing cultured neural networks: Image analysis techniques for longitudinal tracking and modeling of the underlying network structure (versión actualizada)

Esta tesis estudia la evolución estructural de conjuntos de neuronas como la capacidad de auto-organización desde conjuntos de neuronas separadas hasta que forman una red (clusterizada) compleja. Esta tesis contribuye con el diseño e implementación de un algoritmo no supervisado de segmentación basado en grafos con un coste computacional muy bajo. Este algoritmo proporciona de forma automática la estructura completa de la red a partir de imágenes de cultivos neuronales tomadas con microscopios de fase con una resolución muy alta. La estructura de la red es representada mediante un objeto matemático (matriz) cuyos nodos representan a las neuronas o grupos de neuronas y los enlaces son las conexiones reconstruidas entre ellos. Este algoritmo extrae también otras medidas morfológicas importantes que caracterizan a las neuronas y a las neuritas. A diferencia de otros algoritmos hasta el momento, que necesitan de fluorescencia y técnicas inmunocitoquímicas, el algoritmo propuesto permite el estudio longitudinal de forma no invasiva posibilitando el estudio durante la formación de un cultivo. Además, esta tesis, estudia de forma sistemática un grupo de variables topológicas que garantizan la posibilidad de cuantificar e investigar la progresión de las características principales durante el proceso de auto-organización del cultivo. Nuestros resultados muestran la existencia de un estado concreto correspondiente a redes con configuracin small-world y la emergencia de propiedades a micro- y meso-escala de la estructura de la red. Finalmente, identificamos los procesos físicos principales que guían las transformaciones morfológicas de los cultivos y proponemos un modelo de crecimiento de red que reproduce el comportamiento cuantitativamente de las observaciones experimentales. ABSTRACT The thesis analyzes the morphological evolution of assemblies of living neurons, as they self-organize from collections of separated cells into elaborated, clustered, networks. In particular, it contributes with the design and implementation of a graph-based unsupervised segmentation algorithm, having an associated very low computational cost. The processing automatically retrieves the whole network structure from large scale phase-contrast images taken at high resolution throughout the entire life of a cultured neuronal network. The network structure is represented by a mathematical object (a matrix) in which nodes are identified neurons or neurons clusters, and links are the reconstructed connections between them. The algorithm is also able to extract any other relevant morphological information characterizing neurons and neurites. More importantly, and at variance with other segmentation methods that require fluorescence imaging from immunocyto- chemistry techniques, our measures are non invasive and entitle us to carry out a fully longitudinal analysis during the maturation of a single culture. In turn, a systematic statistical analysis of a group of topological observables grants us the possibility of quantifying and tracking the progression of the main networks characteristics during the self-organization process of the culture. Our results point to the existence of a particular state corresponding to a small-world network configuration, in which several relevant graphs micro- and meso-scale properties emerge. Finally, we identify the main physical processes taking place during the cultures morphological transformations, and embed them into a simplified growth model that quantitatively reproduces the overall set of experimental observations.

GTM: A principled alternative to the self-organizing map

The Self-Organizing Map (SOM) algorithm has been extensively studied and has been applied with considerable success to a wide variety of problems. However, the algorithm is derived from heuristic ideas and this leads to a number of significant limitations. In this paper, we consider the problem of modelling the probability density of data in a space of several dimensions in terms of a smaller number of latent, or hidden, variables. We introduce a novel form of latent variable model, which we call the GTM algorithm (for Generative Topographic Mapping), which allows general non-linear transformations from latent space to data space, and which is trained using the EM (expectation-maximization) algorithm. Our approach overcomes the limitations of the SOM, while introducing no significant disadvantages. We demonstrate the performance of the GTM algorithm on simulated data from flow diagnostics for a multi-phase oil pipeline.

Dynamics and topographic organization of recursive self-organizing maps

Recently there has been an outburst of interest in extending topographic maps of vectorial data to more general data structures, such as sequences or trees. However, there is no general consensus as to how best to process sequences using topographicmaps, and this topic remains an active focus of neurocomputational research. The representational capabilities and internal representations of the models are not well understood. Here, we rigorously analyze a generalization of the self-organizingmap (SOM) for processing sequential data, recursive SOM (RecSOM) (Voegtlin, 2002), as a nonautonomous dynamical system consisting of a set of fixed input maps. We argue that contractive fixed-input maps are likely to produce Markovian organizations of receptive fields on the RecSOM map. We derive bounds on parameter β (weighting the importance of importing past information when processing sequences) under which contractiveness of the fixed-input maps is guaranteed. Some generalizations of SOM contain a dynamic module responsible for processing temporal contexts as an integral part of the model. We show that Markovian topographic maps of sequential data can be produced using a simple fixed (nonadaptable) dynamic module externally feeding a standard topographic model designed to process static vectorial data of fixed dimensionality (e.g., SOM). However, by allowing trainable feedback connections, one can obtain Markovian maps with superior memory depth and topography preservation. We elaborate on the importance of non-Markovian organizations in topographic maps of sequential data. © 2006 Massachusetts Institute of Technology.

A three-dimensional representation method for noisy point clouds based on growing self-organizing maps accelerated on GPUs

The research described in this thesis was motivated by the need of a robust model capable of representing 3D data obtained with 3D sensors, which are inherently noisy. In addition, time constraints have to be considered as these sensors are capable of providing a 3D data stream in real time. This thesis proposed the use of Self-Organizing Maps (SOMs) as a 3D representation model. In particular, we proposed the use of the Growing Neural Gas (GNG) network, which has been successfully used for clustering, pattern recognition and topology representation of multi-dimensional data. Until now, Self-Organizing Maps have been primarily computed offline and their application in 3D data has mainly focused on free noise models, without considering time constraints. It is proposed a hardware implementation leveraging the computing power of modern GPUs, which takes advantage of a new paradigm coined as General-Purpose Computing on Graphics Processing Units (GPGPU). The proposed methods were applied to different problem and applications in the area of computer vision such as the recognition and localization of objects, visual surveillance or 3D reconstruction.

Self-Organizing Maps as a New Tool for Classification of Plants at Lower Hierarchical Levels

A chemotaxonomic analysis is described of a database containing various types of compounds from the Heliantheae tribe (Asteraceae) using Self-Organizing Maps (SOM). The numbers of occurrences of 9 chemical classes in different taxa of the tribe were used as variables. The study shows that SOM applied to chemical data can contribute to differentiate genera, subtribes, and groups of subtribes (subtribe branches), as well as to tribal and subtribal classifications of Heliantheae, exhibiting a high hit percentage comparable to that of an expert performance, and in agreement with the previous tribe classification proposed by Stuessy.