Hausdorff clustering of financial time series
Physics and Society
2008-12-02 v1 Statistical Mechanics
Statistical Finance
Abstract
A clustering procedure, based on the Hausdorff distance, is introduced and tested on the financial time series of the Dow Jones Industrial Average (DJIA) index.
Cite
@article{arxiv.physics/0504014,
title = {Hausdorff clustering of financial time series},
author = {Nicolas Basalto and Roberto Bellotti and Francesco De Carlo and Paolo Facchi and Saverio Pascazio},
journal= {arXiv preprint arXiv:physics/0504014},
year = {2008}
}
Comments
9 pages, 3 figures