Tilak, Gayatri; Szell, Tamas; Chicheportiche, Remy; … - arXiv.org - 2012
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of the CAC40, we begin by reasserting the findings of Allez and Bouchaud [New J. Phys. 13, 025010...