Correlation structure and dynamics in volatile markets

T. Aste; W. Shaw; T. Di Matteo

doi:10.1088/1367-2630/12/8/085009

Correlation structure and dynamics in volatile markets

T. Aste^*, W. Shaw, T. Di Matteo

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

109 Citations (Scopus)

Abstract

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.

Original language	English
Article number	085009
Journal	New Journal of Physics
Volume	12
DOIs	https://doi.org/10.1088/1367-2630/12/8/085009
Publication status	Published - 19 Aug 2010

Access to Document

10.1088/1367-2630/12/8/085009

Cite this

@article{2e233ec22dd042d0b07805cc00ff8c23,

title = "Correlation structure and dynamics in volatile markets",

abstract = "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.",

author = "T. Aste and W. Shaw and {Di Matteo}, T.",

year = "2010",

month = aug,

day = "19",

doi = "10.1088/1367-2630/12/8/085009",

language = "English",

volume = "12",

journal = "New Journal of Physics",

publisher = "IOP Publishing Ltd.",

}

TY - JOUR

T1 - Correlation structure and dynamics in volatile markets

AU - Aste, T.

AU - Shaw, W.

AU - Di Matteo, T.

PY - 2010/8/19

Y1 - 2010/8/19

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=77956583264&partnerID=8YFLogxK

U2 - 10.1088/1367-2630/12/8/085009

DO - 10.1088/1367-2630/12/8/085009

M3 - Article

VL - 12

JO - New Journal of Physics

JF - New Journal of Physics

M1 - 085009

ER -

Correlation structure and dynamics in volatile markets

Abstract

Access to Document

Other files and links

Fingerprint

Cite this