Hausdorff clustering of financial time series

A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms.

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Year of publication:	2007
Authors:	Basalto, Nicolas ; Bellotti, Roberto ; De Carlo, Francesco ; Facchi, Paolo ; Pantaleo, Ester ; Pascazio, Saverio
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 379.2007, 2, p. 635-644
Publisher:	Elsevier
Subject:	Econophysics \| Clustering \| Hausdorff metric

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872503