Cross-correlation in financial dynamics

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.

• Publication year

  2009

• Venue

  EPL (Europhysics Letters)

• Publication date

  2009-05-01

• Fields of study

  Physics, Economics

• Identifiers
  DOI 10.1209/0295-5075/86/48005arXiv 1202.0344
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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