Tracing the temporal evolution of clusters in a financial stock market
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2011
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| _version_ | 1866916826836893696 |
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| author | Arratia, Argimiro Cabaña, Alejandra |
| author_facet | Arratia, Argimiro Cabaña, Alejandra |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1111_3127 |
| institution | arXiv |
| publishDate | 2011 |
| record_format | arxiv |
| spellingShingle | Tracing the temporal evolution of clusters in a financial stock market Arratia, Argimiro Cabaña, Alejandra Computational Engineering, Finance, and Science Statistics Theory Statistical Finance 62P05, 68R10 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. |
| title | Tracing the temporal evolution of clusters in a financial stock market |
| topic | Computational Engineering, Finance, and Science Statistics Theory Statistical Finance 62P05, 68R10 |
| url | https://arxiv.org/abs/1111.3127 |