Hausdorff Clustering of Financial Time Series

A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms

MoreLess

Year of publication:	2010
Authors:	basalto, nicolas
Other Persons:	De Carlo, Francesco (contributor) ; Facchi, Paolo (contributor) ; Pantaleo, Ester (contributor) ; Pascazio, Saverio (contributor) ; Bellotti, Roberto (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Regionales Cluster \| Regional cluster \| Finanzmarkt \| Financial market \| Clusteranalyse \| Cluster analysis