Web of Science: 2 citations, Scopus: 2 citations, Google Scholar: citations,
Tracing the temporal evolution of clusters in a financial stock market
Arratia, Argimiro (Universitat Politècnica de Catalunya. Departament de Llenguatges i Sistemes Informàtics)
Cabaña Nigro, Alejandra (Universitat Autònoma de Barcelona. Departament de Matemàtiques)

Date: 2013
Abstract: 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.
Note: 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
Rights: Tots els drets reservats.
Language: Anglès.
Document: article ; recerca ; submittedVersion
Subject: Finances ; Models matemàtics
Published in: Computational economics, Vol. 41, Num. 2 (2013) , p. 213-231, ISSN 0927-7099

DOI: 10.1007/s10614-012-9327-x


Pre-print
22 p, 726.0 KB

The record appears in these collections:
Articles > Research articles
Articles > Published articles

 Record created 2014-11-06, last modified 2019-02-03



   Favorit i Compartir