Dynamics of correlations in the stock market View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2002

AUTHORS

S. Drożdż , F. Grümmer , F. Ruf , J. Speth

ABSTRACT

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990–1999 are studied using a time window of a limited, either 30 or 60, number of trading days. This allows a clear identification of the resulting correlations. On both these markets the decreases turn out to be always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix, while increases are more competitive and thus less collective. Generically, however, the remaining eigenstates of the correlation matrix are, on average, consistent with predictions of the random matrix theory. Effects connected with the world globalization are also discussed and a leading role of the Dow Jones is quantified. This effect is particularly spectacular during the last few years, and it turns out to be crucial to properly account for the time-zone delays in order to identify it. More... »

PAGES

41-50

References to SciGraph publications

  • 1999-06. Imprints of log-periodic self-similarity in the stock market in THE EUROPEAN PHYSICAL JOURNAL B
  • Book

    TITLE

    Empirical Science of Financial Fluctuations

    ISBN

    978-4-431-66995-1
    978-4-431-66993-7

    Author Affiliations

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/978-4-431-66993-7_6

    DOI

    http://dx.doi.org/10.1007/978-4-431-66993-7_6

    DIMENSIONS

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