Analysis of stock market indices through multidimensional scaling

Machado, J. A. Tenreiro; Duarte, Fernando B.; Duarte, Gonçalo Monteiro

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

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Autores

Machado, J. A. Tenreiro

Duarte, Fernando B.

Duarte, Gonçalo Monteiro

Resumo(s)

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.

Palavras-chave

Multidimensional scaling Stock market daily values Time-varying correlation Econophysics

URI

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

Editora

Elsevier

DOI

10.1016/j.cnsns.2011.04.027

Coleções

ISEP - DEE - Artigos

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