Release Time:2022-07-03  Hits:

Date of Publication: 2010-01-01

Journal: 大连理工大学学报

Institution: 经济管理学院

Issue: 6

Page Number: 1042-1046

ISSN: 1000-8608

Abstract: The popular parameter methods will bring the diversity of results in style investment analysis. Subdominant ultra-metric space is provided with the exactly defined topology sequence. Firstly, based on the correlation coefficient between every two stock prices, Euclidean distance of ultra-metric space is calculated. Secondly, subdominant ultra-metric space of portfolio is constructed based on minimum spanning tree of Kruskal. Finally, index hierarchical structure is mapped from subdominant ultra-metric space. Via daily data of listed companies in Liaoning Province from July, 2005 to December, 2007, industry style, event style, performance style and cash flow style are found in the results. It is shown that method of subdominant ultra-metric space is effective.

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