Browsing by Author "Renedo Mirambell, Martí"
Now showing items 1-4 of 4
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Clustering of exchange rates and their dynamics under different dependence measures
(2016)
Conference report
Open AccessThis paper proposes an improvement to the method for clustering exchange rates given by D. J. Fenn et al, in Quantitative Finance, 12 (10) 2012, pp.1493-1520. To deal with the potentially non linear nature of currency time ... -
Detecting clusters and their dynamics in the Forex Market
(Universitat Politècnica de Catalunya, 2016-07)
Bachelor thesis
Open AccessThis project studies and implements the clustering methods introduced by Fenn et al. to detect correlations in the foreign exchange market. To deal with the potentially non linear nature of currency time series dependance, ... -
On methods to assess the significance of community structure in networks of financial time series
(Universitat Politècnica de Catalunya, 2017-07)
Master thesis
Open Access
Covenantee: BGSMathWe consider the problem of determining whether the community structure found by a clustering algorithm applied to financial time series is statistically significant, when no other information than the observed values and ... -
On methods to assess the significance of community structure in networks of financial time series
(2017)
Conference lecture
Open AccessWe consider the problem of determining whether the community structure found by a clustering algorithm applied to nancial time series is statistically signi cant, or is due to pure chance, when no other information ...
