Searching for stable clusters in IBEX 35, co-author with Alejandra Cabaña, presented at i-Math Jornadas sobre Matemática de los Mercados Financieros, Universidad de Murcia, 11-13 marzo 2010 .
Description: A correlation based hierarchical clustering is performed at different time periods in order to study the evolution of clusters among the components of the Spanish stock market IBEX35. This model can be used to design portfolios of companies with similar or dissimilar historical returns behaviour.
A extended work related to this is published as
- A. Arratia & A. Cabaña, A graphical tool for describing the temporal evolution of clusters in financial stock markets. Computational Economics (Springer), February 2013, Volume 41, Issue 2, pp 213-231.