کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9728109 | 1480218 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Clustering stock market companies via chaotic map synchronization
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A pairwise clustering approach is applied to the analysis of the Dow Jones index companies, in order to identify similar temporal behavior of the traded stock prices. To this end, the chaotic map clustering algorithm is used, where a map is associated to each company and the correlation coefficients of the financial time series to the coupling strengths between maps. The simulation of a chaotic map dynamics gives rise to a natural partition of the data, as companies belonging to the same industrial branch are often grouped together. The identification of clusters of companies of a given stock market index can be exploited in the portfolio optimization strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 345, Issues 1â2, 1 January 2005, Pages 196-206
Journal: Physica A: Statistical Mechanics and its Applications - Volume 345, Issues 1â2, 1 January 2005, Pages 196-206
نویسندگان
N. Basalto, R. Bellotti, F. De Carlo, P. Facchi, S. Pascazio,