A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms.

Hausdorff clustering of financial time series

BELLOTTI, Roberto;FACCHI, PAOLO;Pantaleo E;PASCAZIO, Saverio
2007-01-01

Abstract

A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made with other linkage algorithms.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/119460
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