Taxonomy of stock market indices
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.
Bonanno
G
Istituto Nazionale per la Fisica della Materia, Unita di Palermo, and Dipartimento di Fisica e Tecnologie Relative, Universita di Italy Palermo, Viale delle Scienze, I-90128 Palermo, Italia.
Vandewalle
N
Mantegna
RN