A Graphical Tool for Describing the Temporal Evolution of Clusters in Financial Stock Markets

Argimiro Arratia*, Alejandra Cabaña

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

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. © 2012 Springer Science+Business Media New York.
Original languageEnglish
Pages (from-to)213-231
Number of pages19
JournalComputational Economics
Volume41
Issue number2
DOIs
Publication statusPublished - 1 Jan 2013

Keywords

  • Clustering
  • Financial time series
  • Graph combinatorics

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