Tracing the temporal evolution of clusters in a financial stock market

Details Tracing the temporal evolution of clusters in a financial stock market Tracing the temporal evolution of clusters in a financial stock market

2011-11-14

arxiv.org/abs/1111.3127v1

Computer Science

Computational Engineering, Finance, and Science

22 pages, 3 figures (submitted for publication)

Scientific paper

We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical combinatorial graph problems, which can be interpreted as problems relevant to portfolio design and investment strategies. We illustrate this graph representation of the evolution of clusters in time and its use on real data from the Madrid Stock Exchange market.

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