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An interest rates cluster analysis

Di Matteo, T; Aste, T; Mantegna, RN; (2004) An interest rates cluster analysis. Physica A: Statistical Mechanics and its Applications , 339 (1-2) 181 - 188. 10.1016/j.physa.2004.03.041.

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Abstract

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.

Type:Article
Title:An interest rates cluster analysis
DOI:10.1016/j.physa.2004.03.041
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science

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