期刊
EXPERT SYSTEMS WITH APPLICATIONS
卷 37, 期 5, 页码 3846-3852出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2009.11.034
关键词
Symbolic time series analysis; Cluster analysis; Financial asset returns
类别
资金
- Free University of Bolzano
Enormous quantity of information affects stock returns every day producing their almost random behavior. Nonetheless, some information can be recovered by using symbolic methods and constructing minimal spanning trees (MST) and hierarchical trees (HT). The introduced method is applied to the main German companies that appear in the DAX30 index. A structural topology is constructed for this stock market and compared with the method introduced by Mantegna. Conducting bootstrap simulations, we detect a structural break in the evolution of the global distance. (C) 2009 Elsevier Ltd. All rights reserved.
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