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Cross-correlation in financial dynamics

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  • J. Shen
  • B. Zheng
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    Abstract

    To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations than the developed markets. In the Chinese market, the interactions between the stocks in a same business sector are weak, while extra interactions in unusual sectors are detected. Using a variation of the two-factor model, we simulate the interactions in financial markets.

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    File URL: http://arxiv.org/pdf/1202.0344
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1202.0344.

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    Date of creation: Feb 2012
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    Publication status: Published in published in EPL (Europhysics Letters), Volume 86, Issue 4, pp. 48005 (2009)
    Handle: RePEc:arx:papers:1202.0344

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    Web page: http://arxiv.org/

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