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Physica A 339 (2004) 181188 www.elsevier.com/locate/physa

Summary: Physica A 339 (2004) 181≠188
An interest rates cluster analysis
T. Di Matteoa;, T. Astea, R.N. Mantegnab
aApplied Mathematics, Research School of Physical Sciences, Australian National University,
Canberra 0200, Australia
bINFM, Dipartimento di Fisica e Tecnologie Relative, Universit¬a di Palermo, viale delle Scienze,
90128 Palermo, Italy
An empirical analysis of interest rates in money and capital markets is performed. We in-
vestigate a set of 34 di erent weekly interest rate time series during a time period of 16 years
between 1982 and 1997. Our study is focused on the collective behavior of the stochastic uctu-
ations of these time series which is investigated by using a clustering linkage procedure. Without
any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in
a hierarchical structure.
c 2004 Elsevier B.V. All rights reserved.
PACS: 89.65.Gh; 05.45.Tp; 89.90.+n
Keywords: Interest rates; Data clustering; Correlations; Econophysics
1. Introduction
Since long time ˇnancial data have been widely studied by economists, mathemati-


Source: Aste, Tomaso - Department of Applied Mathematics, Australian National University
Di Matteo, Tiziana - Department of Mathematics, King's College London


Collections: Materials Science; Mathematics; Physics