An interest rates cluster analysis
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.
- Publication:
-
Physica A Statistical Mechanics and its Applications
- Pub Date:
- August 2004
- DOI:
- 10.1016/j.physa.2004.03.041
- arXiv:
- arXiv:cond-mat/0401443
- Bibcode:
- 2004PhyA..339..181D
- Keywords:
-
- Interest rates;
- Data clustering;
- Correlations;
- Econophysics;
- Condensed Matter - Statistical Mechanics;
- Condensed Matter - Other;
- Quantitative Finance - Statistical Finance
- E-Print:
- 7 pages, 7 figures