High-frequency cross-correlation in a set of stocks

G. Bonanno, F. Lillo and Rosario Mantegna

Quantitative Finance, 2001, vol. 1, issue 1, 96-104

Abstract: 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 hierarchical organization of the investigated stocks is obtained by determining a metric distance between stocks and by investigating the properties of the subdominant ultrametric associated with it. A clear modification of the hierarchical organization of the set of stocks investigated is detected when the time horizon used to determine stock returns is changed. The hierarchical location of stocks of the energy sector is investigated as a function of the time horizon.

Date: 2001
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Working Paper: High-frequency Cross-correlation in a Set of Stocks (2000)
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DOI: 10.1080/713665554

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