Correlation based hierarchical clustering in financial time series

S Micciche'; F Lillo; Rn Mantegna

Risultato della ricerca: Paper

Abstract

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.
Lingua originaleEnglish
Stato di pubblicazionePublished - 2005

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Economic information
New York Stock Exchange
Hierarchical clustering
Assets
Correlation matrix
Clustering
Financial time series
Financial markets

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Correlation based hierarchical clustering in financial time series. / S Micciche'; F Lillo; Rn Mantegna.

2005.

Risultato della ricerca: Paper

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AU - Micciche', Salvatore

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