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Taxonomy of Stock Market Indices

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  • Giovanni Bonanno
  • Nicolas Vandewalle
  • Rosario N. Mantegna

Abstract

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.

Suggested Citation

  • Giovanni Bonanno & Nicolas Vandewalle & Rosario N. Mantegna, 2000. "Taxonomy of Stock Market Indices," Papers cond-mat/0001268, arXiv.org, revised Aug 2000.
    • Handle: RePEc:arx:papers:cond-mat/0001268
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    File URL: http://arxiv.org/pdf/cond-mat/0001268
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