Sector identification in a set of stock return time series traded at the London Stock Exchange

Fabrizio Lillo, Rosario Nunzio Mantegna, Michele Tumminello, Salvatore Micciche', Mantbgna, Miccichè, Claudia Coronnello, Fabrizio Lillo, Lillo, Claudia Coronnello

Risultato della ricerca: Articlepeer review

54 Citazioni (Scopus)


We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methods present a different degree: of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.
Lingua originaleEnglish
pagine (da-a)2653-2679
Numero di pagine27
RivistaActa Physica Polonica B
Volume36 (9)
Stato di pubblicazionePublished - 2005

All Science Journal Classification (ASJC) codes

  • ???subjectarea.asjc.3100.3100???


Entra nei temi di ricerca di 'Sector identification in a set of stock return time series traded at the London Stock Exchange'. Insieme formano una fingerprint unica.

Cita questo