Partial cross correlations and its applications to financial time series clustering

• Main Author: Lee, Zhen Ting
• Other Authors: Cheong Siew Ann
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Science::General::Economic and business aspects
• Online Access: http://hdl.handle.net/10356/62110
• Institution: Nanyang Technological University

Cross correlation is widely used in many areas to measure mutual influence between variables. However, most cross correlation metrics measure the mutual information between a pair of variables, when in fact these can also be correlated with a third variable. In this FYP, we define a partial cross co...