相关论文: Uncovering the Dynamics of Correlation Structures …

Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock…

Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is…

We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…

The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…

Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…

Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply…

We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…

The major study by Bordo and Helbing (2003) analyses the business cycle in Western economies 1881-2001. They examine four distinct periods in economic history, and conclude that there is a secular trend towards greater synchronisation for…

We study the collective behaviour of an ensemble of coupled motile elements whose interactions depend on time and are alternatively attractive or repulsive. The evolution of interactions is driven by individual internal variables with…

We discuss a new approach to data clustering. We find that maximum likelyhood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose low temperature behavior describes the correlation…

The evolution of many dynamical systems that describe relationships or interactions between objects can be effectively modeled by temporal networks, which are typically represented as a sequence of static network snapshots. In this paper,…

We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree…

Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…

We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…

We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…

We discuss a new approach to data clustering. We find that maximum likelihood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose low temperature behavior describes the correlation…

As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years…