Related papers: Evolution of worldwide stock markets, correlation …
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were…
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
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…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
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…
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…
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
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 study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics.…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…