Correlation based hierarchical clustering in financial time series

Research output: Contribution to conferenceOtherpeer-review


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.
Original languageEnglish
Number of pages9
Publication statusPublished - 2005


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