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cond-mat.stat-mech2000
High-frequency Cross-correlation in a Set of Stocks
Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchic…
cond-mat.stat-mech2000★ 168 cited
Taxonomy of Stock Market Indices
Giovanni Bonanno, Nicolas Vandewalle, Rosario N. Mantegna
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 fi…