Clustering of financial time series with application to index and enhanced index tracking portfolio

Physica A: Statistical Mechanics and its Applications

Volumn 355, Issue 1, 2005, Pages 145-151

  Dose, Christian ^a   Cincotti, Silvano ^a  

^a UNIVERSITY OF GENOA   (Italy)

Author keywords

Clustering; Index tracking; Stochastic optimization; Time series

Indexed keywords

COSTS; DATA REDUCTION; ERROR ANALYSIS; FINANCE; OPTIMIZATION; PROBLEM SOLVING; RANDOM PROCESSES;

CAPITALIZATION; CLUSTERING; INDEX TRACKING; STOCHASTIC OPTIMIZATIONS;

TIME SERIES ANALYSIS;

EID: 21444445247     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.078     Document Type: Conference Paper

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