英文标题：
《Relation between Financial Market Structure and the Real Economy:
Comparison between Clustering Methods》
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作者：
Nicolo Musmeci, Tomaso Aste and Tiziana Di Matteo
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最新提交年份：
2015
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英文摘要：
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to financial data, a novel hierarchical clustering approach, the Directed Bubble Hierarchical Tree and we compare it with other methods including the Linkage and k-medoids. In particular, by taking the industrial sector classification of stocks as a benchmark partition, we evaluate how the different methods retrieve this classification. The results show that the Directed Bubble Hierarchical Tree can outperform other methods, being able to retrieve more information with fewer clusters. Moreover, we show that the economic information is hidden at different levels of the hierarchical structures depending on the clustering method. The dynamical analysis on a rolling window also reveals that the different methods show different degrees of sensitivity to events affecting financial markets, like crises. These results can be of interest for all the applications of clustering methods to portfolio optimization and risk hedging.
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中文摘要：
我们量化了通过不同层次聚类方法过滤的信息量，并将其与基础工业活动结构进行了比较。具体来说，我们首次将一种新的层次聚类方法——有向气泡层次树应用于金融数据，并将其与其他方法（包括链接和k-medoids）进行了比较。特别是，通过将股票的工业部门分类作为基准划分，我们评估了不同方法如何检索这种分类。结果表明，有向气泡层次树的性能优于其他方法，能够用较少的聚类检索更多的信息。此外，我们还表明，根据聚类方法，经济信息隐藏在层次结构的不同层次。对滚动窗口的动态分析还表明，不同的方法对影响金融市场的事件（如危机）表现出不同程度的敏感性。这些结果对聚类方法在投资组合优化和风险对冲中的所有应用都有意义。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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