6533b834fe1ef96bd129cbff
RESEARCH PRODUCT
An interest rates cluster analysis
Tomaso AsteRosario N. MantegnaT. Di Matteosubject
Statistics and ProbabilityCollective behaviormedia_common.quotation_subjectFOS: Physical sciencesLinkage (mechanical)computer.software_genrelaw.inventionFOS: Economics and businesslawEconometricsCluster (physics)Cluster analysisCondensed Matter - Statistical Mechanicsmedia_commonStatistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)EconophysicsSeries (mathematics)Quantitative Finance - Statistical FinanceCondensed Matter PhysicsInterest rateCondensed Matter - Other Condensed MatterData miningCapital marketcomputerOther Condensed Matter (cond-mat.other)description
An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time-series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2004-01-01 |