High-frequency cross-correlation in a set of stocks

Fabrizio Lillo · Rosario N. Mantegna

243 citations0/0 files storedQuantitative Finance

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Statistical Mechanics and Entropy

Abstract

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 determine stock returns is changed. The hierarchical location of stocks of the energy sector is investigated as a function of the time horizon.

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References

2012The Econometrics of Financial Markets 1959Portfolio Selection: Efficient Diversification of Investments 1997The Econometrics of Financial Markets 1982Modern Portfolio Theory and Investment Analysis.2000An Introduction to Econophysics: Correlations and Complexity in Finance

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