Aste, T. and Shaw, W. and Di Matteo, T. (2010) Correlation structure and dynamics in volatile markets. New Journal of Physics, 12 (8). 085009. ISSN 1367-2630.
|The full text of this publication is not available from this repository. (Contact us about this Publication)|
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.
|Divisions:||Faculties > Science Technology and Medical Studies > School of Physical Sciences > Functional Materials Group|
|Depositing User:||Tomaso Aste|
|Date Deposited:||20 Mar 2012 16:24|
|Last Modified:||28 Mar 2012 08:49|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/29170 (The current URI for this page, for reference purposes)|
- Depositors only (login required):