Relation between financial market structure and the real economy: comparison between clustering methods.
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing the clustering structure with the underlying industrial activity classification. We apply, for the first time to financial data, a novel hierarchical clustering...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2015-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC4365074?pdf=render |