مؤتمر
Correlation based hierarchical clustering in financial time series
| العنوان: | Correlation based hierarchical clustering in financial time series |
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| المؤلفون: | MICCICHE', Salvatore, LILLO, Fabrizio, MANTEGNA, Rosario Nunzio |
| المساهمون: | S MICCICHE', F LILLO, RN MANTEGNA |
| سنة النشر: | 2005 |
| المجموعة: | IRIS Università degli Studi di Palermo |
| مصطلحات موضوعية: | econophysic, hierarchical clustering |
| الوصف: | 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. |
| نوع الوثيقة: | conference object |
| اللغة: | English |
| العلاقة: | info:eu-repo/semantics/altIdentifier/wos/WOS:000234590500037; ispartofbook:31st Workshop of the International-School-of-Solid-State-Physics; 31 Workshop of the ISSSP: Complexity, Metastability and Nonextensivity; firstpage:327; lastpage:335; numberofpages:9; http://hdl.handle.net/10447/30476Test |
| DOI: | 10.1142/9789812701558_0037 |
| الإتاحة: | https://doi.org/10.1142/9789812701558_0037Test http://hdl.handle.net/10447/30476Test |
| حقوق: | info:eu-repo/semantics/closedAccess |
| رقم الانضمام: | edsbas.672694C6 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1142/9789812701558_0037 |
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