Trimmed fuzzy clustering of financial time series based on dynamic time warping

In finance, cluster analysis is a tool particularly useful for classifying stock market multivariate time series data related to daily returns, volatility daily stocks returns, commodity prices, volume trading, index, enhanced index tracking portfolio, and so on. In the literature, following differe...

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Vydáno v:	Annals of operations research Ročník 299; číslo 1-2; s. 1379 - 1395
Hlavní autoři:	D’Urso, Pierpaolo, De Giovanni, Livia, Massari, Riccardo
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Témata:	Analysis Business and Management Cluster analysis Clustering Combinatorics Data analysis Fuzzy algorithms Fuzzy logic Fuzzy systems Identification and classification Management Monte Carlo simulation Multivariate analysis Operations research Operations Research/Decision Theory Outliers (statistics) Pricing Regression analysis S.I.: Recent Developments in Financial Modeling and Risk Management Stock exchanges Stock markets Stocks Technology application Theory of Computation Time dilatation Time series Time-series analysis Volatility Warping Italy Multivariate financial time series Robust fuzzy C-medoids clustering FTSE MIB index Dynamic time warping Trimming
ISSN:	0254-5330, 1572-9338
On-line přístup:	Získat plný text
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