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Correlation structure and dynamics in volatile markets

Aste, Tomaso; Shaw, W; Di Matteo, Tiziana

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/58779
Source: New Journal of Physics
DOI: 10.1088/1367-2630/12/8/085009

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