Journal
COMPUTATIONAL ECONOMICS
Volume 41, Issue 2, Pages 213-231Publisher
SPRINGER
DOI: 10.1007/s10614-012-9327-x
Keywords
Financial time series; Clustering; Graph combinatorics
Funding
- BASMATI MIC-INN project [TIN2011-27479-C04-03]
- LARCA [SGR2009-1428]
- SINGACOM [MTM2007-64007]
- Spanish Government MICINN projects [MTM2009-10893]
- BASMATI [TIN2011-27479-C04-03]
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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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