Analysis of stock market indices through multidimensional scaling


Autoria(s): Machado, J. A. Tenreiro; Duarte, Fernando B.; Duarte, Gonçalo Monteiro
Data(s)

05/03/2014

05/03/2014

2011

Resumo

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Identificador

http://dx.doi.org/10.1016/j.cnsns.2011.04.027

007-5704

http://hdl.handle.net/10400.22/4103

Idioma(s)

eng

Publicador

Elsevier

Relação

Communications in Nonlinear Science and Numerical Simulation; Vol. 16, Issue 12

http://www.sciencedirect.com/science/article/pii/S1007570411002218

Direitos

openAccess

Palavras-Chave #Multidimensional scaling #Stock market daily values #Time-varying correlation #Econophysics
Tipo

article