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Cluster formation and evolution in networks of financial market indices

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  • Leonidas Sandoval Junior
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    Abstract

    Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve in time, particularly during times of financial crises. Further analysis is made on the eigenvectors corresponding to the second highest eigenvalues of the correlation matrices, revealing a structure peculiar to markets that operate in different time zones.

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    File URL: http://arxiv.org/pdf/1111.5069
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    Paper provided by arXiv.org in its series Papers with number 1111.5069.

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    Date of creation: Nov 2011
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    Handle: RePEc:arx:papers:1111.5069

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    Cited by:
    1. Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley, 2013. "Systemic risk and spatiotemporal dynamics of the US housing market," Papers 1306.2831, arXiv.org.

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