Hausdorff clustering of financial time series
英文摘要:
A clustering procedure, based on the Hausdorff distance, is introduced and tested on the financial time series of the Dow Jones Industrial Average (DJIA) index.
机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。
Nicolas Basalto, Roberto Bellotti, Francesco De Carlo, Paolo Facchi, Saverio Pascazio
A clustering procedure, based on the Hausdorff distance, is introduced and tested on the financial time series of the Dow Jones Industrial Average (DJIA) index.
机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。
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A clustering algorithm based on the Hausdorff distance is introduced and compared to the single and complete linkage. The three clustering procedures are applied to a toy example and to the time series of financial data. The dendrograms are scrutinized and their features confronted. The Hausdorff linkage relies of firm mathematical grounds and turns out to be very effective when one has to discriminate among complex structures.
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