首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Interest rates hierarchical structure
Institution:1. Université del Piemonte Orientale, Dipartimento de Scienze e Tecnologie Avanzate, Via Bellini 25 G, 15100 Alessandria AL, Italy
Abstract:We propose a general method to study the hierarchical organization of financial data by embedding the structure of their correlations in metric graphs in multi-dimensional spaces. An application to two different sets of interest rates is discussed by constructing triangular embeddings on the sphere. Three-dimensional representations of these embeddings with the correct metric geometry are constructed and visualized. The resulting graphs contain the minimum spanning tree as a sub-graph and they preserve its hierarchical structure. This produces a clear cluster differentiation and allows us to compute new local and global topological quantities.
Keywords:
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号