A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series

摘要

We present in this paper an empirical framework motivated by the practitionerpoint of view on stability. The goal is to both assess clustering validity andyield market insights by providing through the data perturbations we propose amulti-view of the assets' clustering behaviour. The perturbation framework isillustrated on an extensive credit default swap time series database availableonline at www.datagrapple.com.