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Collective behavior of stock price movements in an emerging market

Citations

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Cited by:

  1. Ouyang, F.Y. & Zheng, B. & Jiang, X.F., 2014. "Spatial and temporal structures of four financial markets in Greater China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 236-244.
  2. Jiang, Xiong-Fei & Zheng, Bo & Ren, Fei & Qiu, Tian, 2017. "Localized motion in random matrix decomposition of complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 154-161.
  3. James, Nick & Menzies, Max & Chin, Kevin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
  4. Ahn, Sanghyun & Lim, G.C. & Kim, S.H. & Kim, Soo Yong & Yoon, Kwon Youb & Stanfield, Joseph Lee & Kim, Kyungsik, 2011. "Analysis of stock prices of mining business," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2340-2349.
  5. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  6. Kiran Sharma & Shreyansh Shah & Anindya S. Chakrabarti & Anirban Chakraborti, 2016. "Sectoral co-movements in the Indian stock market: A mesoscopic network analysis," Papers 1607.05514, arXiv.org.
  7. Eterovic, Nicolas A. & Eterovic, Dalibor S., 2013. "Separating the wheat from the chaff: Understanding portfolio returns in an emerging market," Emerging Markets Review, Elsevier, vol. 16(C), pages 145-169.
  8. James, Nick & Menzies, Max, 2023. "Collective infectivity of the pandemic over time and association with vaccine coverage and economic development," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  9. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  10. Pawanesh, Pawanesh & Ansari, Imran & Sahni, Niteesh, 2025. "Exploring the core–periphery and community structure in the financial networks through random matrix theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 661(C).
  11. Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
  12. Sitabhra Sinha, 2014. "The Importance of Community," Studies in Microeconomics, , vol. 2(1), pages 49-61, June.
  13. Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou, 2016. "Correlation structure and principal components in the global crude oil market," Empirical Economics, Springer, vol. 51(4), pages 1501-1519, December.
  14. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  15. Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
  16. Wang, Junjie & Zhou, Shuigeng & Guan, Jihong, 2011. "Characteristics of real futures trading networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 398-409.
  17. Pan, Raj Kumar & Sinha, Sitabhra, 2008. "Inverse-cubic law of index fluctuation distribution in Indian markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2055-2065.
  18. Hanie. Vahabi & Ali Namaki & Reza Raei, 2020. "Comparing the collective behavior of banking industry," Papers 2011.02026, arXiv.org.
  19. Charu Sharma & Amber Habib, 2019. "Mutual information based stock networks and portfolio selection for intraday traders using high frequency data: An Indian market case study," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.
  20. Marton Gosztonyi, 2021. "A Snapshot of the Ownership Network of the Budapest Stock Exchange," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(3), pages 31-58.
  21. Nick James & Max Menzies & Kevin Chin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Papers 2203.15911, arXiv.org, revised Sep 2022.
  22. Sanjay Sathish & Charu C Sharma, 2024. "Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach," Papers 2409.06728, arXiv.org.
  23. Wang, Gang-Jin & Xie, Chi & Chen, Shou & Yang, Jiao-Jiao & Yang, Ming-Yan, 2013. "Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3715-3730.
  24. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
  25. Charu Sharma & Amber Habib, 2019. "Uncovering networks amongst stocks returns by studying nonlinear interactions in high frequency data of the Indian Stock Market using mutual information," Papers 1903.03407, arXiv.org.
  26. Lee, Junghoon & Youn, Janghyuk & Chang, Woojin, 2012. "Intraday volatility and network topological properties in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1354-1360.
  27. Chakrabarti, Anindya S., 2016. "Cross-correlation patterns in social opinion formation with sequential data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 442-454.
  28. Sitabhra Sinha & Uday Kovur, 2013. "Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates," Papers 1305.0239, arXiv.org.
  29. Cai, Yumei & Cui, Xiaomei & Huang, Qianyun & Sun, Jianqiang, 2017. "Hierarchy, cluster, and time-stable information structure of correlations between international financial markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 562-573.
  30. James, Nick, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
  31. 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.
  32. Bing Li, 2017. "Network Evolution of the Chinese Stock Market: A Study based on the CSI 300 Index," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(3), pages 1-5.
  33. Juan Pineiro-Chousa & Marcos Vizcaíno-González & Jérôme Caby, 2016. "Analysing voting behaviour in the United States banking sector through eigenvalue decomposition," Applied Economics Letters, Taylor & Francis Journals, vol. 23(12), pages 840-843, August.
  34. Darío Alatorre & Carlos Gershenson & José L Mateos, 2023. "Stocks and cryptocurrencies: Antifragile or robust? A novel antifragility measure of the stock and cryptocurrency markets," PLOS ONE, Public Library of Science, vol. 18(3), pages 1-21, March.
  35. Nguyen, Q. & Nguyen, N.K.K., 2019. "Composition of the first principal component of a stock index — A comparison between SP500 and VNIndex," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  36. Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber, 2012. "Hidden noise structure and random matrix models of stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 567-572, November.
  37. Cho, Younghwan & Song, Jae Wook, 2023. "Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees," Finance Research Letters, Elsevier, vol. 53(C).
  38. M. Saeedian & T. Jamali & M. Z. Kamali & H. Bayani & T. Yasseri & G. R. Jafari, 2017. "Emergence of world-stock-market network," Papers 1703.08781, arXiv.org.
  39. James, Nick & Menzies, Max & Gottwald, Georg A., 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  40. Nick James & Max Menzies, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Papers 2307.15402, arXiv.org, revised Sep 2023.
  41. Kumar, Sushil & Kumar, Sunil & Kumar, Pawan, 2020. "Diffusion entropy analysis and random matrix analysis of the Indian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  42. Luo, Yi & Li, Xiaoming & Yu, Wei & Huang, Kun & Yang, Yihe & Huang, Yao, 2024. "Research on human dynamics characteristics under large-scale stock data perturbation," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  43. Anwesha Sengupta & Shashankaditya Upadhyay & Indranil Mukherjee & Prasanta K. Panigrahi, 2022. "Describing the effect of influential spreaders on the different sectors of Indian market: a complex networks perspective," Papers 2303.05432, arXiv.org.
  44. Li, Yan & Jiang, Xiong-Fei & Tian, Yue & Li, Sai-Ping & Zheng, Bo, 2019. "Portfolio optimization based on network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 671-681.
  45. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  46. Liu, Yi-Fang & Zhang, Wei & Xu, Hai-Chuan, 2014. "Collective behavior and options volatility smile: An agent-based explanation," Economic Modelling, Elsevier, vol. 39(C), pages 232-239.
  47. Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn, 2024. "After the Split: Market Efficiency of Bitcoin Cash," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 411-427, July.
  48. Nick James, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Papers 2101.00576, arXiv.org, revised Feb 2021.
  49. Nick James & Max Menzies & Georg A. Gottwald, 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Papers 2202.10623, arXiv.org, revised Jun 2022.
  50. Dalibor Eterovic & Nicolas Eterovic, 2012. "Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market," Working Papers wp_025, Adolfo Ibáñez University, School of Government.
  51. F. Y. Ouyang & B. Zheng & X. F. Jiang, 2014. "Spatial and temporal structures of four financial markets in Greater China," Papers 1402.1046, arXiv.org.
  52. Lei Tan & Jun-Jie Chen & Bo Zheng & Fang-Yan Ouyang, 2016. "Exploring Market State and Stock Interactions on the Minute Timescale," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
  53. Chen, Huan & Mai, Yong & Li, Sai-Ping, 2014. "Analysis of network clustering behavior of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 360-367.
  54. Nick James & Max Menzies, 2024. "Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals," Papers 2412.00468, arXiv.org, revised Feb 2025.
  55. Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 511-535, October.
  56. James, Nick & Chin, Kevin, 2022. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  57. Yang, Ming-Yuan & Li, Sai-Ping & Wu, Yue & Tang, Jingtai & Ren, Fei, 2019. "Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market," Finance Research Letters, Elsevier, vol. 29(C), pages 117-124.
  58. Nick James & Max Menzies, 2023. "Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies," Papers 2304.08902, arXiv.org, revised Jun 2023.
  59. Vishwas Kukreti & Hirdesh K. Pharasi & Priya Gupta & Sunil Kumar, 2020. "A perspective on correlation-based financial networks and entropy measures," Papers 2004.09448, arXiv.org.
  60. Eckrot, A. & Jurczyk, J. & Morgenstern, I., 2016. "Ising model of financial markets with many assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 250-254.
  61. James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  62. Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.
  63. Anwesha Sengupta & Shashankaditya Upadhyay & Indranil Mukherjee & Prasanta K. Panigrahi, 2024. "A study of the effect of influential spreaders on the different sectors of Indian market and a few foreign markets: a complex networks perspective," Journal of Computational Social Science, Springer, vol. 7(1), pages 45-85, April.
  64. Zhu, Jia & Wei, Daijun, 2021. "Analysis of stock market based on visibility graph and structure entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 576(C).
  65. Fernando Caneo & Werner Kristjanpoller, 2021. "Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4424-4440, July.
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