A clustering approach to examine the dynamics of the NASDAQ topology in times of crisis
This paper investigates the dynamics of the NASDAQ topology before, during, and after 2008 financial crisis. First, multiresolution analysis by virtue of wavelet transform is employed to denoise each NASDAQ sector return series. Second, the correlation matrix of sectors is built and analyzed in each...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2012-10-01
|
| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol2/msl_2012_130.pdf |