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Cross-correlation dynamics in financial time series

Author

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  • Conlon, T.
  • Ruskin, H.J.
  • Crane, M.

Abstract

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlation matrix, over these time windows, oppose those of the largest eigenvalue. This behaviour is shown to be independent of the size of the time window and the number of stocks examined.

Suggested Citation

  • Conlon, T. & Ruskin, H.J. & Crane, M., 2009. "Cross-correlation dynamics in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 705-714.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:5:p:705-714
    DOI: 10.1016/j.physa.2008.10.047
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