An interest rates cluster analysis

T. Di Matteo; T. Aste; R. N. Mantegna

doi:10.1016/j.physa.2004.03.041

An interest rates cluster analysis

T. Di Matteo^*, T. Aste, R. N. Mantegna

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

43 Citations (Scopus)

Abstract

An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.

Original language	English
Pages (from-to)	181-188
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	339
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.03.041
Publication status	Published - 1 Aug 2004
Event	Proceedings of the International Conference New Materials - Canberra, Vic., Australia Duration: 3 Nov 2003 → 7 Nov 2003

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10.1016/j.physa.2004.03.041

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title = "An interest rates cluster analysis",

abstract = "An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.",

keywords = "Correlations, Data clustering, Econophysics, Interest rates",

author = "{Di Matteo}, T. and T. Aste and Mantegna, {R. N.}",

year = "2004",

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AU - Aste, T.

AU - Mantegna, R. N.

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N2 - An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.

AB - An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.

KW - Correlations

KW - Data clustering

KW - Econophysics

KW - Interest rates

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U2 - 10.1016/j.physa.2004.03.041

DO - 10.1016/j.physa.2004.03.041

M3 - Conference article

SN - 0378-4371

VL - 339

SP - 181

EP - 188

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1-2

T2 - Proceedings of the International Conference New Materials

Y2 - 3 November 2003 through 7 November 2003

ER -

An interest rates cluster analysis

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