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dc.contributorArratia Quesada, Argimiro Alejandro
dc.contributor.authorRenedo Mirambell, Martí
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Ciències de la Computació
dc.date.accessioned2016-09-08T09:01:23Z
dc.date.available2016-09-08T09:01:23Z
dc.date.issued2016-07
dc.identifier.urihttp://hdl.handle.net/2117/89711
dc.description.abstractThis 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, we propose two alternative similarity metrics to use instead of the Pearson linear correlation. We observe how each of them responds over several years of currency exchange data and find significant differences in the resulting clusters.
dc.language.isoeng
dc.publisherUniversitat Politècnica de Catalunya
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.lcshMathematical Statistics -- Applications
dc.subject.otherCommunity detection
dc.subject.otherDistance correlation
dc.subject.otherKendall correlation
dc.subject.otherFX market
dc.titleDetecting clusters and their dynamics in the Forex Market
dc.typeBachelor thesis
dc.subject.lemacEstadística matemàtica--Aplicacions
dc.subject.amsClassificació AMS::62 Statistics::62P Applications
dc.identifier.slugFME-1327
dc.rights.accessOpen Access
dc.date.updated2016-07-23T05:43:17Z
dc.audience.educationlevelGrau
dc.audience.mediatorUniversitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística


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