Financial Applications of the Mahalanobis Distance

Applied Economics and Finance, 1(2), p. 71-77

Posted: 19 Aug 2013 Last revised: 5 Sep 2015

See all articles by Sebastian Stöckl

Sebastian Stöckl

University of Liechtenstein

Michael Hanke

University of Liechtenstein

Date Written: 2014

Abstract

We describe existing and potential financial applications of the Mahalanobis distance. After a short motivation and a discussion of important properties of this multivariate distance measure, we classify its applications in finance according to the source and nature of its input parameters. Examples illustrate the usefulness of these applications of the Mahalanobis distance for financial market participants.

Keywords: Mahalanobis distance, Financial turbulence, Multivariate distance

JEL Classification: C46, C52

Suggested Citation

Stöckl, Sebastian and Hanke, Michael, Financial Applications of the Mahalanobis Distance (2014). Applied Economics and Finance, 1(2), p. 71-77, Available at SSRN: https://ssrn.com/abstract=2312087 or http://dx.doi.org/10.2139/ssrn.2312087

Sebastian Stöckl (Contact Author)

University of Liechtenstein ( email )

Fürst-Franz-Josef-Strasse
Vaduz, FL-9490
Liechtenstein

HOME PAGE: http://www.uni.li/sebastian.stoeckl

Michael Hanke

University of Liechtenstein ( email )

Fuerst Franz Josef-Strasse
Vaduz, FL-9490
Liechtenstein

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