Hayashi, Katsuhiko; Kaizoji, Taisei; Pichl, Lukáš - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 16-21
An analysis of minute-tick data from the Japanese stock index market is reported for a three-year period of 2000/7/4–2003/6/30. Correlation patterns and principal component distributions were determined for 180 constituents of the NIKKEI 225 index, excluding the effects of after-hours trading...
