Interest rates hierarchical structure
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]
|Collections||ANU Research Publications|
|Source:||Physica A: Statistical mechanics and its applications|
|01_Di Matteo_Interest_rates_hierarchical_2005.pdf||440.81 kB||Adobe PDF||Request a copy|
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