Hausdorff clustering of financial time series

Nicolas Basalto, Roberto Bellotti, Francesco De Carlo, Paolo Facchi, Ester Pantaleo and Saverio Pascazio

Physica A: Statistical Mechanics and its Applications, 2007, vol. 379, issue 2, 635-644

Abstract: A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms.

Keywords: Econophysics; Clustering; Hausdorff metric (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:379:y:2007:i:2:p:635-644

DOI: 10.1016/j.physa.2007.01.011

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