|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'503'724
Articles rated: 2609
23 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
An interest rates cluster analysis | | T. Di Matteo
; T. Aste
; R. N. Mantegna
; | | Date: |
23 Dec 2003 | | Journal: | Physica A 339 (2004) 181-188 | | Subject: | Statistical Mechanics; Other | cond-mat.stat-mech cond-mat.other | | 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. | | Source: | arXiv, cond-mat/0401443 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER