Sector dominance ratio analysis of financial markets
نویسندگان
چکیده
منابع مشابه
Sector dominance ratio analysis of financial markets
In this paper we present a newmeasure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a yearly and monthly basis for four stock markets, those of the US, UK, Germany and Japan, during the perio...
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Irena Vodenska 1,2,*, Alexander P. Becker 1, Di Zhou 1, Dror Y. Kenett 1, H. Eugene Stanley 1 and Shlomo Havlin 3 1 Center for Polymer Studies and Department of Physics, Boston University, 590 Commonwealth Avenue, Boston, MA 02215, USA; [email protected] (A.P.B.); [email protected] (D.Z.); [email protected] (D.Y.K.); [email protected] (H.E.S.) 2 Administrative Sciences Department, Metropolitan Colleg...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2015
ISSN: 0378-4371
DOI: 10.1016/j.physa.2014.11.055