Related papers: Market correlation structure changes around the Gr…
Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using asset graphs based on distance thresholds. I also study the…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…
It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market…
Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we investigate the financial cross correlation…
We investigate serial correlation, periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange…
A geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space of small dimension. Here we have explored subspaces of this…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
The contrast between companies' "fleshy" promises and the "skeletal" performance in digital transformation may lead to a higher risk of stock price crash. This paper selects a sample of Shanghai and Shenzhen A-share listed companies from…
We investigate structural change in the PR China during a period of particularly rapid growth 1998-2014. For this, we utilize sectoral data from the World Input-Output Database and firm-level data from the Chinese Industrial Enterprise…
We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index. We shortly discuss the possible…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed,…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
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…
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…