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Taxonomy of Stock Market Indices

Giovanni Bonanno, Nicolas Vandewalle, Rosario N. Mantegna

Physical Review E, 62, Dec 2000, R7615-R7618, 2000

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.

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