Un approccio metrico per lo studio dei dati finanziari

Luca Grilli

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: In this paper I present a time series analysis based on a metrical approach. I use a definition of distance which depends on the sample correlation coefficient among bonds. The dataset consists on daily returns of US treasury bonds. By mean of a Linkage-Algorithm bonds are classified according to the distance which show the cluster structure. It is evident how the cluster structure depends strongly on maturity date, bonds are classified in three different clusters, one of them consists on long term bonds. The analysis is focused on long term bonds, introducing a modified time series, I show how is possible to evidentiate a complex cluster structure even in this class of bonds.

Keywords: Fixed income; clustering (search for similar items in EconPapers)
JEL-codes: C10 C49 C53 D49 (search for similar items in EconPapers)
Date: 2004-02
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Published in Metodi Matematici per l'Economia e la Finanza (a cura di Lucia Maddalena), Collana Interdipartimentale di Studi Economici, Volume 4, 2005 ( ISBN: 88-495-1012-8), Edizioni Scientifiche Italiane.

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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:lg_igr_2004

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