Hausdorff clustering of financial time series

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.

9 pages, 3 figures

References in corpus (4)

• Hierarchical Structure in Financial Markets
• Noise Dressing of Financial Correlation Matrices
• Universal and non-universal properties of cross-correlations in financial time series
• Dynamics of market correlations: Taxonomy and portfolio analysis

Cited by in corpus (9)

• Association between COVID-19 cases and international equity indices
• A new measure between sets of probability distributions with applications to erratic financial behavior
• Spatio-temporal trends in the propagation and capacity of low-carbon hydrogen projects
• Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies
• Robust multivariate and functional archetypal analysis with application to financial time series analysis
• Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
• Distributional trends in the generation and end-use sector of low-carbon hydrogen plants
• Hausdorff clustering
• Equivalence relations and $L^p$ distances between time series with application to the Black Summer Australian bushfires