An interest rates cluster analysis
Statistical Mechanics
2009-11-10 v1 Other Condensed Matter
Statistical Finance
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.
Cite
@article{arxiv.cond-mat/0401443,
title = {An interest rates cluster analysis},
author = {T. Di Matteo and T. Aste and R. N. Mantegna},
journal= {arXiv preprint arXiv:cond-mat/0401443},
year = {2009}
}
Comments
7 pages, 7 figures