Correlation structure and dynamics in volatile markets

被引：111
作者：
Aste, T. [1 ,2 ,3 ]
Shaw, W. [2 ]
Di Matteo, T. [2 ,3 ]
机构：
[1] Univ Kent, Sch Phys Sci, Canterbury CT2 7NH, Kent, England
[2] Kings Coll London, Dept Math, London WC2R 2LS, England
[3] Australian Natl Univ, Sch Phys Sci, Dept Appl Math, Canberra, ACT 0200, Australia
来源：
NEW JOURNAL OF PHYSICS | 2010年 / 12卷
关键词：
COMPLEX NETWORKS; FINANCIAL MARKET; ASSET TREES; SYSTEMS; MATRICES;
D O I：
10.1088/1367-2630/12/8/085009
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The statistical signatures of the 'credit crunch' financial crisis that unfolded between 2008 and 2009 are investigated by combining tools from statistical physics and network theory. We devise measures for the collective behavior of stock prices based on the construction of topologically constrained graphs from cross-correlation matrices. We test the stability, statistical significance and economic meaningfulness of these graphs. The results show an intriguing trend that highlights a consistently decreasing centrality of the financial sector over the last 10 years.
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页数：21
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