Anti-correlation and subsector structure in financial systems
AbstractWith the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation matrix, we detect the subsector structure of the financial systems. The positive and negative subsectors are anti-correlated each other in the corresponding eigenmode. The subsector structure is strong in the Chinese stock market, while somewhat weaker in the American stock market and global market indices. Characteristics of the subsector structures in different markets are revealed.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.6418.
Date of creation: Jan 2012
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Publication status: Published in EPL, 97 (2012) 48006
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-ETS-2012-02-15 (Econometric Time Series)
- NEP-MAC-2012-02-15 (Macroeconomics)
- NEP-TRA-2012-02-15 (Transition Economics)
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- 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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