Hausdorff clustering.
A clustering algorithm based on the Hausdorff distance is analyzed and compared to the single, complete, and average linkage algorithms. The four clustering procedures are applied to a toy example and to the time series of financial data. The dendrograms are scrutinized and their features compared. The Hausdorff linkage relies on firm mathematical grounds and turns out to be very effective when one has to discriminate among complex structures.
Basalto
Nicolas
N
Trading Risk Management, Holding, UniCredit SpA, 20121 Milan, Italy.
Bellotti
Roberto
R
De Carlo
Francesco
F
Facchi
Paolo
P
Pantaleo
Ester
E
Pascazio
Saverio
S
D000465:Algorithms; D001185:Artificial Intelligence; D001703:Biophysics / Q000379:methods*; D016000:Cluster Analysis; D003627:Data Interpretation, Statistical; D008954:Models, Biological; D015233:Models, Statistical; D008962:Models, Theoretical