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arXiv · 1111.3127

Tracing the temporal evolution of clusters in a financial stock market

Argimiro Arratia·Alejandra Cabaña
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Abstract

We 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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cs.CEmath.STq-fin.STstat.TH

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BibTeXRIS

Argimiro Arratia, Alejandra Cabaña. 2011-11-14. Tracing the temporal evolution of clusters in a financial stock market. https://doi.org/10.1007/s10614-012-9327-x

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