Tracing the temporal evolution of clusters in a financial stock market
AbstractWe propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical combinatorial graph problems, which can be interpreted as problems relevant to portfolio design and investment strategies. We illustrate this graph representation of the evolution of clusters in time and its use on real data from the Madrid Stock Exchange market.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1111.3127.
Date of creation: Nov 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
- NEP-CMP-2011-11-21 (Computational Economics)
- NEP-FMK-2011-11-21 (Financial Markets)
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