Bonanno, G.; Lillo, F.; Mantegna, R. N. - In: Quantitative Finance 1 (2001) 1, pp. 96-104
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...