Cross-correlation in financial dynamics

Details Cross-correlation in financial dynamics Cross-correlation in financial dynamics

2012-02-02

arxiv.org/abs/1202.0344v1

published in EPL (Europhysics Letters), Volume 86, Issue 4, pp. 48005 (2009)

Economy

Quantitative Finance

Statistical Finance

6 pages, 3 figures

Scientific paper

10.1209/0295-5075/86/48005

To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations than the developed markets. In the Chinese market, the interactions between the stocks in a same business sector are weak, while extra interactions in unusual sectors are detected. Using a variation of the two-factor model, we simulate the interactions in financial markets.

Affiliated with

Also associated with

No associations

Rating

Cross-correlation in financial dynamics does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Cross-correlation in financial dynamics, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Cross-correlation in financial dynamics will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-186661