Now showing items 1-4 of 4

  • Clustering of exchange rates and their dynamics under different dependence measures 

    Renedo Mirambell, Martí; Arratia Quesada, Argimiro Alejandro (2016)
    Conference report
    Open Access
    This 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 

    Renedo Mirambell, Martí (Universitat Politècnica de Catalunya, 2016-07)
    Bachelor thesis
    Open Access
    This 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 

    Renedo Mirambell, Martí (Universitat Politècnica de Catalunya, 2017-07)
    Master thesis
    Open Access
    Covenantee:  BGSMath
    We 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 

    Arratia Quesada, Argimiro Alejandro; Renedo Mirambell, Martí (2017)
    Conference lecture
    Open Access
    We 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 ...