基于最小生成树的超度量聚类的若干金融案例分析

Some Financial Case Studies of Ultrametric Clustering Analysis Via Minimum Spanning Tree

本文介绍了基于最小生成树的超度量聚类方法,并应用该方法做了两个案例:一是对2007-2008年全球金融危机中世界主要国家的股指进行了实证分析,揭示了金融危机在全球传递的特征和全球股市的内在结构;二是对股指期货上市前后的中国期货市场交易品种进行了实证分析,揭示了期货市场的内在结构。

The ultrametric clustering method based on minimum spanning tree is introduced first. Then it is applied to the empirical analysis for two cases. The first case is the analysis of the stock indexes of major countries in the recent global financial crisis during 2007 to 2008, revealing the internal structure of world stock markets. The second case is the analysis of Chinese futures market before and after the Shanghai and Shenzhen 300 Stock Index Futures was listed, revealing the internal structure of Chinese futures markets.