High-frequency Cross-correlation in a Set of Stocks

Details High-frequency Cross-correlation in a Set of Stocks High-frequency Cross-correlation in a Set of Stocks

2000-09-22

arxiv.org/abs/cond-mat/0009350v2

Quantitative Finance, 1,Jan 2001, 96-104

Physics

Condensed Matter

Statistical Mechanics

9 pages, 8 figures, 12 panels, November 2000

Scientific paper

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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