Feature Clustering of Noisy Data and Application in the Currency Market

Abstract

With the increase in high-dimensional data, researchers pay more attention to dimensionality reduction techniques because there are many noisy, redundant and irrelevant features in high-dimensional data. The existence of noisy features leads to decrease performance when analyzing high-dimensional data. Also, unsupervised dimensionality reduction techniques are widely used due to the lack of available labels. Feature clustering is an unsupervised dimensionality reduction technique to partition features into clusters in which features are strongly related. In addition, the Pearson correlation coefficient is widely used as a similarity tool for feature clustering. However, the Pearson correlation coefficient is easily influenced by outliers and noises, thus leading to misleading results. This paper focuses on the influence of dissimilarity measures on the clustering of noisy features. Heavy-tailed distributions are used for modeling data with outliers and noises. Therefore, we introduce a new dissimilarity measure based on a new dependence coefficient of heavy-tailed distributions. The performance of feature clustering using the proposed dissimilarity is evaluated using ARI and internal criteria on artificial and real currency market datasets. Experiment results have demonstrated the effectiveness of the proposed feature clustering method.