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22 p, 726.0 KB 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)
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. [...]
2013 - 10.1007/s10614-012-9327-x
Computational economics, Vol. 41, Num. 2 (2013) , p. 213-231  
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