Domino effect for world market fluctuations
Statistical Mechanics
2009-10-31 v1 Statistical Finance
Abstract
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are emphasized, proving that market moves are collective behaviors.
Keywords
Cite
@article{arxiv.cond-mat/0001293,
title = {Domino effect for world market fluctuations},
author = {N. Vandewalle and Ph. Boveroux and F. Brisbois},
journal= {arXiv preprint arXiv:cond-mat/0001293},
year = {2009}
}
Comments
8 pages, 5 figures, submitted to EPJB