Taxonomy of Stock Market Indices
Nicolas Vandewalle and
Papers from arXiv.org
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.
Date: 2000-01, Revised 2000-08
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Published in Physical Review E, 62, Dec 2000, R7615-R7618
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0001268
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