Literature DB >> 11138114

Taxonomy of stock market indices

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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.

Year:  2000        PMID: 11138114     DOI: 10.1103/physreve.62.r7615

Source DB:  PubMed          Journal:  Phys Rev E Stat Phys Plasmas Fluids Relat Interdiscip Topics        ISSN: 1063-651X


  3 in total

1.  Synergistic Information Transfer in the Global System of Financial Markets.

Authors:  Tomas Scagliarini; Luca Faes; Daniele Marinazzo; Sebastiano Stramaglia; Rosario N Mantegna
Journal:  Entropy (Basel)       Date:  2020-09-08       Impact factor: 2.524

2.  The dynamic evolution of the characteristics of exchange rate risks in countries along "The Belt and Road" based on network analysis.

Authors:  Zhewen Liao; Zhongxing Wang; Kun Guo
Journal:  PLoS One       Date:  2019-09-06       Impact factor: 3.240

3.  Evolving Network Analysis of S&P500 Components: COVID-19 Influence of Cross-Correlation Network Structure.

Authors:  Janusz Miśkiewicz; Dorota Bonarska-Kujawa
Journal:  Entropy (Basel)       Date:  2021-12-23       Impact factor: 2.524

  3 in total

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