TY - JOUR
T1 - A Graphical Tool for Describing the Temporal Evolution of Clusters in Financial Stock Markets
AU - Arratia, Argimiro
AU - Cabaña, Alejandra
PY - 2013/1/1
Y1 - 2013/1/1
N2 - 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. © 2012 Springer Science+Business Media New York.
AB - 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. © 2012 Springer Science+Business Media New York.
KW - Clustering
KW - Financial time series
KW - Graph combinatorics
UR - https://ddd.uab.cat/record/126135
UR - http://www.scopus.com/inward/record.url?scp=84872966833&partnerID=8YFLogxK
U2 - https://doi.org/10.1007/s10614-012-9327-x
DO - https://doi.org/10.1007/s10614-012-9327-x
M3 - Article
VL - 41
SP - 213
EP - 231
IS - 2
ER -