6533b7cffe1ef96bd12586fc

RESEARCH PRODUCT

Taxonomy of stock market indices

Nicolas VandewalleRosario N. MantegnaGiovanni Bonanno

subject

Statistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)Series (mathematics)Computer scienceQuantitative Finance - Statistical FinanceFOS: Physical sciencesTime horizoncomputer.software_genreStock market indexFOS: Economics and businessSet (abstract data type)CurrencyTaxonomy (general)EconometricsData miningTime seriescomputerCondensed Matter - Statistical Mechanics

description

We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of returns and by using a reference currency we find a meaningful taxonomy. The detection of such a taxonomy proves that interpretable information can be stored in a set of nonsynchronously recorded time series.

yearjournalcountryeditionlanguage
2000-01-19Physical Review E
https://doi.org/10.1103/physreve.62.r7615