Taxonomy of Stock Market Indices

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.

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Year of publication:	2000-01
Authors:	Bonanno, Giovanni ; Vandewalle, Nicolas ; Mantegna, Rosario N.
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Physical Review E, 62, Dec 2000, R7615-R7618
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083471