Cheng, Wong Jian; Heng, Lian; Ann, Cheong Siew - arXiv.org - 2009
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically...