Quantifying and interpreting collective behavior in financial markets

被引：132

作者：

Gopikrishnan, P ^{[1
]}

Rosenow, B

Plerou, V

Stanley, HE

机构：

[1] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

[2] Boston Univ, Dept Phys, Boston, MA 02215 USA

[3] Harvard Univ, Dept Phys, Cambridge, MA 02138 USA

[4] Boston Coll, Dept Phys, Chestnut Hill, MA 02167 USA

来源：

PHYSICAL REVIEW E | 2001年 / 64卷 / 03期

关键词：

Constraint theory - Correlation methods - Economics - Eigenvalues and eigenfunctions;

D O I：

10.1103/PhysRevE.64.035106

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the two-year period 1994-95 and (ii) one-day price fluctuations of 422 US stocks for the 35-year period 1962-96. We find that the eigenvectors of C corresponding to the largest eigenvalues allow us to partition the set of all stocks into distinct subsets. These subsets are similar to business sectors, and are stable for extended periods of time. We find that price fluctuations of these subsets are characterized by power-law decaying time correlations, reminiscent of strongly interacting systems.

引用

页码：4 / 351064

页数：4

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