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Clustering financial time series: an application to mutual funds style analysis

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  • Pattarin, Francesco
  • Paterlini, Sandra
  • Minerva, Tommaso

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  • Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
    • Handle: RePEc:eee:csdana:v:47:y:2004:i:2:p:353-372
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    References listed on IDEAS

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    1. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
    2. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
    3. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 315-343.
    4. Chiou, Yu-Chiun & Lan, Lawrence W., 2001. "Genetic clustering algorithms," European Journal of Operational Research, Elsevier, vol. 135(2), pages 413-427, December.
    5. Chatterjee, Sangit & Laudato, Matthew & Lynch, Lucy A., 1996. "Genetic algorithms and their statistical applications: an introduction," Computational Statistics & Data Analysis, Elsevier, vol. 22(6), pages 633-651, October.
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