Search Results - subject:"clustering"

Clustering of financial time series with application to index and enhanced index tracking portfolio

Dose, Christian; Cincotti, Silvano - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 145-151

including transaction costs. Computational results based on clustering selection are compared to those of random techniques and … show the importance of clustering in noise reduction and robust forecasting applications, in particular for enhanced index …

Persistent link: https://www.econbiz.de/10010589147

Weighted networks of scientific communication: the measurement and topological role of weight

Li, Menghui; Fan, Ying; Chen, Jiawei; Gao, Liang; Di, Zengru - In: Physica A: Statistical Mechanics and its Applications 350 (2005) 2, pp. 643-656

statistical results for the network are reported. Clustering coefficient of weighted networks is introduced and empirically …

Persistent link: https://www.econbiz.de/10010589598

Clustering stock market companies via chaotic map synchronization

Basalto, N.; Bellotti, R.; De Carlo, F.; Facchi, P.; … - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 1, pp. 196-206

A pairwise clustering approach is applied to the analysis of the Dow Jones index companies, in order to identify … similar temporal behavior of the traded stock prices. To this end, the chaotic map clustering algorithm is used, where a map …

Persistent link: https://www.econbiz.de/10010589671

Interest rates hierarchical structure

Di Matteo, T.; Aste, T.; Hyde, S.T.; Ramsden, S. - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 21-33

We propose a general method to study the hierarchical organization of financial data by embedding the structure of their correlations in metric graphs in multi-dimensional spaces. An application to two different sets of interest rates is discussed by constructing triangular embeddings on the...

Persistent link: https://www.econbiz.de/10010590348

A threshold model of investor psychology

Cross, Rod; Grinfeld, Michael; Lamba, Harbir; Seaman, Tim - In: Physica A: Statistical Mechanics and its Applications 354 (2005) C, pp. 463-478

We introduce a class of agent-based market models founded upon simple descriptions of investor psychology. Agents are subject to various psychological tensions induced by market conditions and endowed with a minimal ‘personality’. This personality consists of a threshold level for each of...

Persistent link: https://www.econbiz.de/10010591293