Di Matteo, T;
An interest rates cluster analysis.
Physica A: Statistical Mechanics and its Applications
An 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. © 2004 Elsevier B.V. All rights reserved.
|Title:||An interest rates cluster analysis|
|UCL classification:||UCL > School of BEAMS > Faculty of Engineering Science
UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
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