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Tracing the temporal evolution of clusters in a financial stock market
Arratia, Argimiro (Universitat Politècnica de Catalunya. Departament de Llenguatges i Sistemes Informàtics)
Cabaña, Alejandra (Universitat Autònoma de Barcelona. Departament de Matemàtiques)

Data: 2013
Resum: We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical combinatorial graph problems, which can be interpreted as problems relevant to portfolio design and investment strategies. We illustrate this graph representation of the evolution of clusters in time and its use on real data from the Madrid Stock Exchange market.
Nota: The final publication is available at Springer via DOI 10.1007/s10614-012-9327-x with the title: A Graphical Tool for Describing the Temporal Evolution of Clusters in Financial Stock Markets
Drets: Tots els drets reservats.
Llengua: Anglès
Document: article ; recerca ; submittedVersion
Matèria: Matemàtica financera ; Finances -- Models matemàtics
Publicat a: Computational economics, Vol. 41, Num. 2 (2013) , p. 213-231, ISSN 0927-7099

DOI: 10.1007/s10614-012-9327-x

22 p, 726.0 KB

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