Related papers: Group dynamics of the Japanese market
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
With the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation…
We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We…
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…