Analysis of stock market indices through multidimensional scaling

J Tenreiro Machado,Fernando B Duarte,Goncalo Monteiro Duarte

Communications in Nonlinear Science and Numerical Simulation（2011）

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摘要

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. (C) 2011 Elsevier B.V. All rights reserved.

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关键词

Multidimensional scaling,Stock market daily values,Time-varying correlation,Econophysics

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