Hausdorff clustering

Details Hausdorff clustering Hausdorff clustering

2008-01-07

arxiv.org/abs/0801.0748v1

Phys. Rev. E 78, 046112 (2008)

Economy

Quantitative Finance

Statistical Finance

12 pages, 13 figures

Scientific paper

10.1103/PhysRevE.78.046112

A clustering algorithm based on the Hausdorff distance is introduced and compared to the single and complete linkage. The three clustering procedures are applied to a toy example and to the time series of financial data. The dendrograms are scrutinized and their features confronted. The Hausdorff linkage relies of firm mathematical grounds and turns out to be very effective when one has to discriminate among complex structures.

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