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.
S MICCICHE', F LILLO, RN MANTEGNA (2005). Correlation based hierarchical clustering in financial time series. In 31st Workshop of the International-School-of-Solid-State-Physics (pp.327-335) [10.1142/9789812701558_0037].
Correlation based hierarchical clustering in financial time series
MICCICHE', Salvatore;LILLO, Fabrizio;MANTEGNA, Rosario Nunzio
2005-01-01
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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