Ricerc@Sapienza

The detection of patterns in multivariate time series is a relevant task, especially for large datasets. In this paper, four clustering models for multivariate time series are proposed, with the following characteristics. First, the Partitioning Around Medoids (PAM) framework is considered. Among the different approaches to the clustering of multivariate time series, the observation-based is adopted. To cope with the complexity of the features of each multivariate time series and the associated assignment uncertainty a fuzzy clustering approach is adopted.

Clustering geographical units based on a set of quantitative features observed at several time occasions requires to deal with the complexity of both space and time information. In particular, one should consider (1) the spatial nature of the units to be clustered, (2) the characteristics of the space of multivariate time trajectories, and (3) the uncertainty related to the assignment of a geographical unit to a given cluster on the basis of the above complex features.

In finance, cluster analysis is a tool particularly useful for classifying stock market multivariate time series data related to daily returns, volatility daily stocks returns, commodity prices, volume trading, index, enhanced index tracking portfolio, and so on. In the literature, following different methodological approaches, several clustering methods have been proposed for clustering multivariate time series.