Futures hedging using clusters with dynamic behavior of market fluctuation.
Yu-Chia HsuAn-Pin ChenPublished in: IJCNN (2012)
Keyphrases
- dynamic behavior
- financial markets
- stock market
- stock price
- futures market
- trading strategies
- portfolio selection
- clustering algorithm
- stock returns
- option pricing
- risk management
- hierarchical clustering
- stock exchange
- black scholes
- financial data
- speed control
- data clustering
- short term
- overlapping clusters
- data points
- market prices
- convertible bonds
- fuzzy clustering
- cluster analysis
- exchange rate
- long term