|
|||||
|
|
Hausdorff clustering of financial time series |
|
| Authors: | Nicolas Basalto Roberto Bellotti Francesco De Carlo Paolo Facchi Ester Pantaleo Saverio Pascazio |
| Institution: | 1. Market Risk Management, Unicredito Italiano, Milano, Italy;2. Dipartimento di Fisica, Università di Bari, Italy;3. Istituto Nazionale di Fisica Nucleare, Sezione di Bari, Italy;4. TIRES, Center of Innovative Technologies for Signal Detection and Processing, Bari, Italy;5. Dipartimento di Matematica, Università di Bari, Italy |
| Abstract: | A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms. |
| Keywords: | Econophysics Clustering Hausdorff metric |
| 本文献已被 ScienceDirect 等数据库收录！ | |