Related papers: An interest rates cluster analysis
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
A natural approach to analyze interaction data of form "what-connects-to-what-when" is to create a time-series (or rather a sequence) of graphs through temporal discretization (bandwidth selection) and spatial discretization (vertex…
GDP/capita correlations are investigated in various time windows (TW), for the time interval 1990-2005. The target group of countries is the set of 25 EU members, 15 till 2004 plus the 10 countries which joined EU later on. The TW-means of…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
The Classification Literature Automated Search Service, an annual bibliography based on citation of one or more of a set of around 80 book or journal publications, ran from 1972 to 2012. We analyze here the years 1994 to 2011. The…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We conduct cluster analysis on a class of locally asymptotically self-similar stochastic processes, which includes multifractional Brownian motion as a representative. When the true number of clusters is supposed to be known, a new…
This study focuses on exploring the use of local interpretability methods for explaining time series clustering models. Many of the state-of-the-art clustering models are not directly explainable. To provide explanations for these…
The one-dimensional contact process is analyzed by a cluster approximation. In this approach, the hierarchy of rate equations for the densities of finite length empty intervals are truncated under the assumption that adjacent intervals are…
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven approach to clustering based on a correlation blockmodel in…
Time series clustering is the process of grouping time series with respect to their similarity or characteristics. Previous approaches usually combine a specific distance measure for time series and a standard clustering method. However,…
In complex systems, events occur at irregular intervals that inherently encode the underlying dynamics of the system. Analyzing the temporal clustering of these events reveals critical insights into the non-random patterns and the temporal…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
We study the problem of clustering sequences of unlabeled point sets taken from a common metric space. Such scenarios arise naturally in applications where a system or process is observed in distinct time intervals, such as biological…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
Based on the online transaction data of COSCO group's centralized procurement platform, this paper studies the clustering method of time series type data. The different methods of similarity calculation, different clustering methods with…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…