Clustering of Japanese stock returns by recursive modularity maximization

Proceedings - 2013 International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2013

Volumn , Issue , 2013, Pages 569-576

  Isogai, Takashi ^a  

^a JAPAN ADVANCED INSTITUTE OF SCIENCE AND TECHNOLOGY   (Japan)

Author keywords

Community detection; Correlation; GARCH; Hierarchical clustering; Modularity; Sector classification; Stock return

Indexed keywords

EID: 84894135002     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/SITIS.2013.94     Document Type: Conference Paper

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