CORRELATION BASED HIERARCHICAL CLUSTERING IN FINANCIAL TIME SERIES Export

@article{citeulike:1325199, 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.}, author = {Micciche', S. and Lillo, F. and Mantegna, R. N.}, citeulike-article-id = {1325199}, citeulike-linkout-0 = {http://eproceedings.worldscinet.com/9789812701558/9789812701558_0037.html}, keywords = {correlation, finance}, posted-at = {2007-05-24 15:17:08}, priority = {2}, title = {CORRELATION BASED HIERARCHICAL CLUSTERING IN FINANCIAL TIME SERIES}, url = {http://eproceedings.worldscinet.com/9789812701558/9789812701558_0037.html} }

TY - JOUR ID - citeulike:1325199 L3 - citeulike-article-id:1325199 N2 - 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. TI - CORRELATION BASED HIERARCHICAL CLUSTERING IN FINANCIAL TIME SERIES KW - correlation KW - finance AU - Micciche’, S AU - Lillo, F AU - Mantegna, RN UR - http://eproceedings.worldscinet.com/9789812701558/9789812701558_0037.html ER -