Financial Applications of the Mahalanobis Distance

2014-09-10·
Sebastian Stöckl
Sebastian Stöckl
,
Michael Hanke
· 0 min read
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.
Type
Publication
Applied Economics and Finance