Hausdorff clustering of financial time series
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.
- Publication:
-
Physica A Statistical Mechanics and its Applications
- Pub Date:
- June 2007
- DOI:
- 10.1016/j.physa.2007.01.011
- arXiv:
- arXiv:physics/0504014
- Bibcode:
- 2007PhyA..379..635B
- Keywords:
-
- Physics - Physics and Society;
- Condensed Matter - Statistical Mechanics;
- Quantitative Finance - Statistical Finance
- E-Print:
- 9 pages, 3 figures