Correlation structure and dynamics in volatile markets

Details Correlation structure and dynamics in volatile markets Correlation structure and dynamics in volatile markets

Aug 2010

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2010njph...12h5009a&link_type=abstract

New Journal of Physics, Volume 12, Issue 8, pp. 085009 (2010).

Physics

1

Scientific paper

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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