Dynamics of competition between collectivity and noise in the stock market

Details Dynamics of competition between collectivity and noise in the stock market Dynamics of competition between collectivity and noise in the stock market

1999-11-11

arxiv.org/abs/cond-mat/9911168v1

Physica A287 (2000), 440

Physics

Condensed Matter

Statistical Mechanics

10 pages, 4 figures, LaTeX2e + graphicx

Scientific paper

10.1016/S0378-4371(00)00383-6

Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the draw downs are always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix which, at the same time, reduces the variance of the noise states. The opposite applies to draw ups. In this case the dynamics spreads more uniformly over the eigenstates which results in an increase of the total information entropy.

Affiliated with

Also associated with

No associations

Rating

Dynamics of competition between collectivity and noise in the stock market 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 Dynamics of competition between collectivity and noise in the stock market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamics of competition between collectivity and noise in the stock market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-586940