Aste, T. and Shaw, W. and Matteo, T. Di. (2010) Correlation structure and dynamics in volatile markets. New Journal of Physics, 12 (8). 085009.
| The full text of this publication is not available from this repository. (Contact us about this Publication) | |
| Official URL http://stacks.iop.org/1367-2630/12/i=8/a=085009 |
Abstract
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.
| Item Type: | Article |
|---|---|
| Subjects: | Q Science > QC Physics > QC20 Mathematical Physics Q Science > QC Physics |
| Divisions: | Faculties > Science Technology and Medical Studies > School of Physical Sciences > Functional Materials Group |
| Depositing User: | Tomaso Aste |
| Date Deposited: | 26 Oct 2010 16:32 |
| Last Modified: | 02 Dec 2011 15:53 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/25941 (The current URI for this page, for reference purposes) |
- Depositors only (login required):
