Taxonomy of stock market indices

被引：126

作者：

Bonanno, G

Vandewalle, N

Mantegna, RN

机构：

[1] Univ Palermo, Unita Palermo, Ist Nazl Fis Mat, I-90128 Palermo, Italy

[2] Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90128 Palermo, Italy

[3] Univ Liege, Inst Phys B5, B-4000 Liege, Belgium

来源：

PHYSICAL REVIEW E | 2000年 / 62卷 / 06期

关键词：

D O I：

10.1103/PhysRevE.62.R7615

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

We investigate sets of financial nonredundant 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.

引用

页码：R7615 / R7618

页数：4

共 20 条

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