Analysis of stock market indices through multidimensional scaling

作者：Cox M A A^*

来源：Journal of Statistical Computation and Simulation, 2013, 83(11): 2015-2029.

DOI：10.1080/00949655.2012.678361

• dynamic time warping
• multidimensional scaling
• Procrustes analysis
• time series

Two similarity measures are employed to compare historic stock market indices over time. The more traditional Euclidean similarity is employed to provide a reference. As a comparison, dynamic time warping is introduced as a similarity measure. Multidimensional scaling is employed to compare these dissimilarities on 15 financial indices sampled daily over a 10-year period. In addition to investigating the whole period, 1-year tranches are also considered. This analysis is compared to a recent study of Machado et al. [Analysis of stock market indices through multidimensional scaling, Commun. Nonlinear Sci. Numer. Simul. 16(12) (2011), pp. 4610-4618], who examined these same indices using correlation as a similarity measure. It is suggested that this approach may be problematic. Doubt is also cast on the efficacy of the histogram%26apos; similarity they also propose.

• 出版日期2013-11-1