Correlation based hierarchical clustering in financial time series

被引：3
|
作者：
Micciche, S [1 ]
Lillo, F [1 ]
Mantegna, RN [1 ]
机构：
[1] Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90133 Palermo, Italy
来源：
COMPLEXITY, METASTABILITY AND NONEXTENSIVITY | 2005年 / 26卷
关键词：
D O I：
10.1142/9789812701558_0037
中图分类号：
O59 [应用物理学];
学科分类号：
摘要：
We review a correlation based clustering procedure applied to a portfolio of assets synchronously traded in a financial market. The portfolio considered consists of the set of 500 highly capitalized stocks traded at the New York Stock Exchange during the time period 1987-1998. We show that meaningful economic information can be extracted from correlation matrices.
引用
收藏
页码：327 / 335
页数：9
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