Correlation structure and dynamics in volatile markets

By Tomaso Aste, William T. Shaw, T. Di Matteo. 2010

144 citations recorded by the source corpus.

The statistical signatures of the ‘credit crunch’ financial crisis that unfolded between 2008 and 2009 are investigated by combining tools from statistical physics and network theory. We devise measures for the collective behavior of stock prices based on the construction of topologically constrained graphs from cross-correlation matrices. We test the stability, statistical significance and economic meaningfulness of these graphs. The results show an intriguing trend that highlights a consistently decreasing centrality of the financial sector over the last 10 years.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/ea302dfc180ca4fca21981200b158394e03b5752

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Condensed Matter Physics

1. Gangjin Wang
2. Chi Xie

In Economics and Econometrics

1. Gangjin Wang
2. Chi Xie
3. Ming-Yan Yang
4. Shou Chen
5. Jiao-Jiao Yang

In Statistical and Nonlinear Physics

1. Gangjin Wang
2. Ming-Yan Yang
3. Shou Chen
4. Jiao-Jiao Yang
5. Chi Xie

Citations in the corpus

• Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013, background): “[46] revealed that the financial crisis usually leads to the”
• Correlation structure and dynamics of international real estate securities markets: A network perspective (2015, unknown): “[32,39].”