High-frequency cross-correlation in a set of stocks

  title={High-frequency cross-correlation in a set of stocks},
  author={G. Bonanno and F. Lillo and R. N. Mantegna},
  journal={Quantitative Finance},
  pages={104 - 96}
  • G. Bonanno, F. Lillo, R.N. Mantegna
  • Published 2000
  • Mathematics, Physics, Economics
  • Quantitative Finance
  • The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by determining a metric distance between stocks and by investigating the properties of the subdominant ultrametric associated with it. A clear modification of the hierarchical organization of the set of stocks investigated is detected when the time horizon used to… CONTINUE READING
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