Clustering of Japanese stock returns by recursive modularity optimization for efficient portfolio diversification

Journal of Complex Networks

Volumn 2, Issue 4, 2014, Pages 557-584

  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

CLUSTERING ALGORITHMS; CORRELATION METHODS; FINANCIAL MARKETS; INFORMATION MANAGEMENT; INVESTMENTS; POPULATION DYNAMICS; RISK MANAGEMENT;

COMMUNITY DETECTION; CORRELATION STRUCTURE; FINANCIAL ASSET RETURNS; GARCH; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODELS; MODULARITY; SPECTRAL CLUSTERING; STOCK RETURNS;

HIERARCHICAL CLUSTERING;

EID: 84937721765     PISSN: 20511310     EISSN: 20511329     Source Type: Journal    
DOI: 10.1093/comnet/cnu023     Document Type: Article

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