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ROSARIO NUNZIO MANTEGNA

Correlation based hierarchical clustering in financial time series

  • Autori: Micciche', S.; Lillo, F.; Mantegna, R.
  • Anno di pubblicazione: 2005
  • Tipologia: Proceedings (TIPOLOGIA NON ATTIVA)

Abstract

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.

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