Dynamic Stock Markets Clustering

• Authors: Czapkiewicz Anna , Machno Artur

Title variants

PL

Dynamiczne grupowanie stóp zwrotu

• Languages of publication: EN

Abstracts

PL

W pracy przedstawiono dwa podejścia, służące do badania dynamicznej zależności pomiędzy finansowymi szeregami czasowymi. W pierwszym podejściu do badania zależności między szeregami czasowymi wykorzystano funkcje kopuli oraz dynamikę sterowaną ukrytym procesem Markowa, natomiast drugie podejście wykorzystuje wielowymiarowe procesy auto-regresyjne. W wyniku zastosowania obu podejść otrzymano dynamiczne korelacje pomiędzy badanymi szeregami czasowymi, które stanowiły podstawę do konstrukcji dynamicznego grupowania rynków finansowych.(abstrakt oryginalny)

Keywords

EN

Financial markets; Time-series; Markov process

PL

Rynki finansowe; Szeregi czasowe; Procesy Markowa

• Publisher: Wydawnictwo WSEI Kraków
• Journal: Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
• Year: 2014
• Volume: 10
• Pages: 41-51

Contributors

author

Czapkiewicz Anna

• AGH University of Science and Technology, Poland

author

Machno Artur

• AGH University of Science and Technology, Poland

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