Taxonomy of stock market indices
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- 1 December 2000
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 62 (6) , R7615-R7618
- https://doi.org/10.1103/physreve.62.r7615
Abstract
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.Keywords
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