Interest rates hierarchical structure |
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Institution: | 1. Université del Piemonte Orientale, Dipartimento de Scienze e Tecnologie Avanzate, Via Bellini 25 G, 15100 Alessandria AL, Italy |
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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. |
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