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Interest rates hierarchical structure

Di Matteo, Tiziana; Aste, Tomaso; Hyde, Stephen; Ramsden, Stuart

Description

We propose a general method to study the hierarchical organization of financial data by embedding the structure of their correlations in metric graphs in multi-dimensional spaces. An application to two different sets of interest rates is discussed by constructing triangular embeddings on the sphere. Three-dimensional representations of these embeddings with the correct metric geometry are constructed and visualized. The resulting graphs contain the minimum spanning tree as a sub-graph and they...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/79619
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2005.02.063

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