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An Interest Rates Cluster Analysis

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dc.contributor.authorDi Matteo, Tiziana
dc.contributor.authorAste, Tomaso
dc.contributor.authorMantegna, R N
dc.date.accessioned2015-12-13T22:38:16Z
dc.date.available2015-12-13T22:38:16Z
dc.date.issued2004
dc.date.updated2015-12-11T09:42:23Z
dc.description.abstractAn 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.
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/1885/77478
dc.publisherElsevier
dc.sourcePhysica A: Statistical mechanics and its applications
dc.subjectKeywords: 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
dc.titleAn Interest Rates Cluster Analysis
dc.typeJournal article
local.bibliographicCitation.lastpage188
local.bibliographicCitation.startpage181
local.contributor.affiliationDi Matteo, Tiziana, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationAste, Tomaso, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationMantegna, R N, Universita di Palerno
local.contributor.authoruidDi Matteo, Tiziana, u4044285
local.contributor.authoruidAste, Tomaso, u4044222
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor010301 - Numerical Analysis
local.identifier.ariespublicationMigratedxPub6334
local.identifier.citationvolume339
local.identifier.doi10.1016/j.physa.2004.03.041
local.identifier.scopusID2-s2.0-2942547858
local.type.statusPublished Version

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