Interest rates hierarchical structure

被引：19

作者：

Di Matteo, T ^{[1
]}

Aste, T ^{[1
]}

Hyde, ST ^{[1
]}

Ramsden, S ^{[1
]}

机构：

[1] Australian Natl Univ, Res Sch Phys Sci, Canberra, ACT 0200, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 355卷 / 01期

关键词：

interest rates; data clustering; correlations; econophysics;

D O I：

10.1016/j.physa.2005.02.063

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 preserve its hierarchical structure. This produces a clear cluster differentiation and allows us to compute new local and global topological quantities. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：21 / 33

页数：13