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An Interest Rates Cluster Analysis

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Date

2004

Authors

Di Matteo, Tiziana
Aste, Tomaso
Mantegna, R N

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

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.

Description

Keywords

Keywords: Database systems; Finance; Hierarchical systems; Industrial economics; Risk assessment; Statistical methods; Stochastic control systems; Correlations; Data clustering; Econophysics; Interest rates; Financial data processing Correlations; Data clustering; Econophysics; Interest rates

Citation

URI

http://hdl.handle.net/1885/77478

Collections

ANU Research Publications

Source

Physica A: Statistical mechanics and its applications

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.physa.2004.03.041

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