A proposal of a methodological framework with experimental guidelines to\n investigate clustering stability on financial time series

2015/09/17 by Gautier Marti, Marti, Gautier, Philippe Véry +5
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Engineering #FOS: Computer and information sciences #FOS: Economics and business #Finance #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods #Time Series Analysis and Forecasting #and Science (cs.CE)

paper · pdf · doi:10.48550/arxiv.1509.05475

openalex publication_date 2015/09/17 · openalex created_date 2022/09/24 · openalex updated_date 2026/07/28

Abstract

We present in this paper an empirical framework motivated by the practitioner\npoint of view on stability. The goal is to both assess clustering validity and\nyield market insights by providing through the data perturbations we propose a\nmulti-view of the assets' clustering behaviour. The perturbation framework is\nillustrated on an extensive credit default swap time series database available\nonline at www.datagrapple.com.\n

Related

• Clustering Financial Time Series: How Long is Enough?
• Measuring Volatility Clustering in Stock Markets
• Copula-Based Clustering of Financial Time Series via Evidence Accumulation
• Clustering Approaches for Financial Data Analysis: a Survey
• Tracing the temporal evolution of clusters in a financial stock market