Analysis of Time Series Correlation. The Choice of Distance Metrics and Network Structure

• Authors: J. Miśkiewicz
• Languages of publication: EN

Abstracts

EN

Standard analysis of correlations between companies consists of two stages: calculating the distance matrix and construction of a chosen graph structure. In the paper the most often used Ultrametric Distance (UD) is compared with the Manhattan Distance (MD). It is showed that MD allows to investigate a broader class of correlation and is more robust to the noise influence. Therefore MD was used to construct entropy distance, which is applied to the analysis of correlation between subset of WIG20 and S&P500 companies. In the analysis three network structures were used: minimum spanning tree and unidirectional and bidirectional minimum length path. The results are compared to the standard UD based analysis. The advantages and disadvantages of the analysed time series distances are outlined.

Keywords

EN

89.65.Gh; 05.45.Tp; 06.30.Bp

Discipline

• 06.30.Bp: Spatial dimensions (e.g., position, lengths, volume, angles, and displacements)
• 05.45.Tp: Time series analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2012
• Volume: 121
• Issue: 2B
• Pages: B-89-B-94

Dates

published

2012-02

Contributors

author

J. Miśkiewicz

• University of Wrocław, Institute of Theoretical Physics, pl. M. Borna 9, 50-204 Wrocław, Poland

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Identifiers

DOI

10.12693/APhysPolA.121.B-89