An interest rates cluster analysis

T. Di Matteo, T. Aste and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2004, vol. 339, issue 1, 181-188

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.

Keywords: Interest rates; Data clustering; Correlations; Econophysics (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:339:y:2004:i:1:p:181-188

DOI: 10.1016/j.physa.2004.03.041

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