کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10482310 933412 2005 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Interest rates hierarchical structure
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Interest rates hierarchical structure
چکیده انگلیسی
We propose a general method to study the hierarchical organization of financial data by embedding the structure of their correlations in metric graphs in multi-dimensional spaces. An application to two different sets of interest rates is discussed by constructing triangular embeddings on the sphere. Three-dimensional representations of these embeddings with the correct metric geometry are constructed and visualized. The resulting graphs contain the minimum spanning tree as a sub-graph and they preserve its hierarchical structure. This produces a clear cluster differentiation and allows us to compute new local and global topological quantities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 21-33
نویسندگان
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