[en] 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.
Disciplines :
Physics
Author, co-author :
Bonanno, G.
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Mantegna, R. N.
Language :
English
Title :
Taxonomy of stock market indices
Publication date :
December 2000
Journal title :
Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
ISSN :
1063-651X
eISSN :
1095-3787
Publisher :
American Physical Society, College Park, United States - Maryland
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