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原文連結
論文資訊
- 類型：已發表論文
- 日期：2005
摘要
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same 經濟 sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect 經濟 資訊 and the presence of clusters characterized by the 經濟 sector of stocks. However, different methods present
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