Dynamics of competition between collectivity and noise in the stock market
Detailed study of the financial empirical correlation matrix of the 30 companies which Deutsche Aktienindex (DAX) comprised during the period of the last 11 years, using the time window of 30 trading days, is presented. This allows clear identification of a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the drawdowns are always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix which, at the same time, reduces the variance of the noise states. The opposite applies to drawups. In this case, the dynamics spreads more uniformly over the eigenstates which results in an increase of the total information entropy. Analogous study of the market corresponding to Daw Jones industrial average (DJIA) leads to similar conclusions. In the latter case, however, the correlations are weaker on average. One possible reason for this effect is that the market represented by DJIA is less susceptible to various external factors than the one represented by DAX.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 287 (2000)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:287:y:2000:i:3:p:440-449. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.