6533b82dfe1ef96bd1291464

RESEARCH PRODUCT

Correlation based hierarchical clustering in financial time series

Rosario N. MantegnaFabrizio LilloSalvatore Miccichè

subject

Set (abstract data type)FinanceCorrelationEconomic informationSeries (mathematics)Stock exchangebusiness.industryPortfoliobusinessCluster analysiseconophysichierarchical clusteringHierarchical clustering

description

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.

yearjournalcountryeditionlanguage
2005-09-01
10.1142/9789812701558_0037http://hdl.handle.net/10447/30476