Zastosowanie statystyki wielowymiarowej do badania kryzysu subprime
Cluster analysis and subprime crisis
Author(s): Eliza BuszkowskaSubject(s): National Economy, Financial Markets
Published by: Wydawnictwo Uniwersytetu w Białymstoku
Keywords: cluster analysis; financial crisis; correlations; volatility
Summary/Abstract: The author uses data clustering methods derived from multivariate statistics to investigate the latest financial crisis. In compliance with these algorithms, the paper groups stock market indexes and stock exchange rates from the periods of their higher correlation and higher volatility. The author discusses the possibility to apply this method to generate time frames on the stock market. Cluster analysis has made it possible to make some new observations concerning the subprime crisis.
Journal: Optimum. Economic Studies
- Issue Year: 76/2015
- Issue No: 4
- Page Range: 85-102
- Page Count: 18
- Language: Polish