6533b7d8fe1ef96bd126ac4c
RESEARCH PRODUCT
Information and hierarchical structure in financial markets
Rosario N. Mantegnasubject
Correlation coefficientDistance matrixHardware and ArchitectureFinancial marketEconometricsEconomicsGeneral Physics and AstronomyPortfolioMathematical economicsUltrametric spaceStock (geology)description
I investigate the information content present in the time series of stock prices of a portfolio of stocks traded in a financial market. By investigating the correlation coefficient between pairs of stocks I provide a working definition of a generalized distance between the stocks of the portfolio. This generalized distance is used to obtain an ultrametric distance matrix between the stocks. The ultrametric structure of the portfolio investigated has associated a taxonomy which is meaningful from an economic point of view.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1999-09-01 | Computer Physics Communications |