Correlation based hierarchical clustering in financial time series

Risultato della ricerca: Other

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
Pagine327-335
Numero di pagine9
Stato di pubblicazionePublished - 2005

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