An interest rates cluster analysis

T. Di Matteo, T. Aste and Rosario Mantegna

Papers from arXiv.org

Abstract: An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time-series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.

Date: 2004-01
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Published in Physica A 339 (2004) 181-188

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