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标题：Dynamic and Structure of the Italian stock market based on returns and volume trading
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作者：Juan Gabriel Brida ; W. Adrian Risso
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：3
页码：2417-2423
出版社：Economics Bulletin
摘要：In this paper we introduce a new method to describe dynamical patterns of multidimensional time. The method combines the tools of Symbolic Time Series Analysis with the nearest neighbor single linkage clustering algorithm. Data symbolization allows to obtain a metric distance between two different time series that is used to construct an ultrametric distance. The methodology is applied to examine the dynamics and structure of the Italian stock market considering both asset returns and volume trading to model the market. We derive a hierarchical organization, constructing minimal-spanning and hierarchical trees, both in normal and extreme situations of the market. From these trees we detect four clusters of firms according to their proximity. We show that the financial cluster is in a central position of the minimal spanning tree, both in normal and extreme situations, reflecting that financial companies represent more than 30% of the Italian market capitalization. We also show that the derived clusters corresponds with companies sharing common economic activities