An autoencoder-based deep learning approach for clustering time series data

Neda Tavakoli, Sima Siami-Namini, Mahdi Adl Khanghah, Fahimeh Mirza Soltani, Akbar Siami Namin

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

This paper introduces a two-stage deep learning-based methodology for clustering time series data. First, a novel technique is introduced to utilize the characteristics (e.g., volatility) of the given time series data in order to create labels and thus enable transformation of the problem from an unsupervised into a supervised learning. Second, an autoencoder-based deep learning model is built to model both known and hidden non-linear features of time series data. The paper reports a case study in which the selected financial and stock time series data of over 70 stock indices are clustered into distinct groups using the introduced two-stage procedure. The results show that the proposed methodology is capable of achieving 87.5% accuracy in clustering and predicting the labels for unseen time series data. The paper also reports an important finding in which it is observed that the performance of both techniques (i.e., autoencoder and Kmeans) are comparable. However, there are a few instances of time series data that are classified differently by the autoencoder-based methodology compared to the Kmeans algorithm. The results may indicate that the proposed deep learning-based approach is taking into account additional hidden features that might be overlooked by conventional Kmeans. The finding raises the question whether the explicit features of data should be analyzed for clustering or more advanced techniques such as deep learning need to be adapted by which hidden features and relationships are explored for clustering purposes.

Original languageEnglish
Article number937
JournalSN Applied Sciences
Volume2
Issue number5
DOIs
StatePublished - May 2020

Keywords

  • Deep learning
  • Encoder–decoder
  • Encoder–decoder
  • Financial data analysis
  • Kmeans clustering
  • Multi-layer perceptron
  • Supervised learning
  • Time series clustering
  • Unsupervised learning

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