An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange

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dc.contributor.authorTully, Robynen_ZA
dc.date.accessioned2014-10-17T10:12:53Z
dc.date.available2014-10-17T10:12:53Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractCluster analysis is becoming an increasingly popular method in modern finance because of its ability to summarise large amounts of data and so help individual and institutional investors to make timeous and informed investment decisions. This is no less true for investors in smaller, emerging markets - such as the Johannesburg Stock Exchange - than it is for those in the larger global markets. This study examines the application of two clustering techniques to the Johannesburg Stock Exchange. First, the application of Salvador and Chan's (2003) L method stopping rule to a hierarchical clustering of time series return data was analysed as a method for determining the number of latent groups in the data set. Using Ward's method and the Euclidean distance function, this method appears to be able detect the correct number of clusters on the JSE. Second, the ability of three different clustering algorithms to generate consistent clusters and cluster members over time on the Johannesburg Stock Exchange was analysed. The variation of information was used to measure the consistency of cluster members through time. Hierarchical clustering using Ward's method and the Euclidean distance measure proved to produce the most consistent results, while the K-means algorithms generated the least consistent cluster members.en_ZA
dc.identifier.apacitationTully, R. (2014). <i>An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/8562en_ZA
dc.identifier.chicagocitationTully, Robyn. <i>"An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014. http://hdl.handle.net/11427/8562en_ZA
dc.identifier.citationTully, R. 2014. An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Tully, Robyn AB - Cluster analysis is becoming an increasingly popular method in modern finance because of its ability to summarise large amounts of data and so help individual and institutional investors to make timeous and informed investment decisions. This is no less true for investors in smaller, emerging markets - such as the Johannesburg Stock Exchange - than it is for those in the larger global markets. This study examines the application of two clustering techniques to the Johannesburg Stock Exchange. First, the application of Salvador and Chan's (2003) L method stopping rule to a hierarchical clustering of time series return data was analysed as a method for determining the number of latent groups in the data set. Using Ward's method and the Euclidean distance function, this method appears to be able detect the correct number of clusters on the JSE. Second, the ability of three different clustering algorithms to generate consistent clusters and cluster members over time on the Johannesburg Stock Exchange was analysed. The variation of information was used to measure the consistency of cluster members through time. Hierarchical clustering using Ward's method and the Euclidean distance measure proved to produce the most consistent results, while the K-means algorithms generated the least consistent cluster members. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange TI - An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange UR - http://hdl.handle.net/11427/8562 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8562
dc.identifier.vancouvercitationTully R. An assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchange. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8562en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleAn assessment of the application of cluster analysis techniques to the Johannesburg Stock Exchangeen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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