Economy – Quantitative Finance – Statistical Finance
Scientific paper
2011-03-29
Physical Review E 84 (2), 026108 (2011)
Economy
Quantitative Finance
Statistical Finance
8 pages, 11 figures
Scientific paper
10.1103/PhysRevE.84.026108
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, correlation based graphs and the spectral properties of the largest eigenvalues and eigenvectors of the correlation matrix are carrying information about the fast and slow dynamics of correlation of market indices. We introduce a measure of mutual information based on link co-occurrence in networks, in order to detect the fast dynamics of successive changes of correlation based graphs in a quantitative way.
Mantegna Rosario Nunzio
Song Dong-Ming
Tumminello Michele
Zhou Wei-Xing
No associations
LandOfFree
Evolution of worldwide stock markets, correlation structure and correlation based graphs 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 Evolution of worldwide stock markets, correlation structure and correlation based graphs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Evolution of worldwide stock markets, correlation structure and correlation based graphs will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-162902