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Analysis of stock market indices through multidimensional scaling

✍ Scribed by J. Tenreiro Machado; Fernando B. Duarte; Gonçalo Monteiro Duarte

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
608 KB
Volume
16
Category
Article
ISSN
1007-5704

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✦ Synopsis

a b s t r a c t

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

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