Correlation structure and dynamics in volatile markets
نویسندگان
چکیده
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. 4 Author to whom any correspondence should be addressed. New Journal of Physics 12 (2010) 085009 1367-2630/10/085009+21$30.00 © IOP Publishing Ltd and Deutsche Physikalische Gesellschaft
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تاریخ انتشار 2010