资源描述：
《Dynamics of Stock Market Correlations.pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、AUCOCzechEconomicReview4(2010)330–340ActaUniversitatisCarolinaeOeconomicaDynamicsofStockMarketCorrelationsDrorY.Kenett,YoashShapira,AsafMadi,SharronBransburg-Zabary,GititGur-Gershgoren†,EshelBen-Jacob‡Received3March2010;Accepted5September2010AbstractWepresentanovel
2、approachtothestudythedynamicsofstockmarketcorrelations.Thisisachievedthroughaninnovativevisualizationtoolthatallowsaninvestigationofthestruc-tureanddynamicsofthemarket,throughthestudyofcorrelations.ThisisbasedontheStockMarketHolography(SMH)methodrecentlyintroduced.Thisqua
3、litativemeasureiscomple-mentedbytheuseoftheeigenvalueentropymeasure,toquantifyhowtheinformationinthemarketchangesintime.Usingthisinnovativeapproach,weanalyzeddatafromtheNewYorkStockExchange(NYSE),andtheTelAvivStockExchange(TASE),fordailytradingdataforthetimeperiodof2000–2
4、009.Thispapercoversthesenewconceptsforthestudyoffinancialmarketsintermsofstructureandinformationasreflectedbythechangesincorrelationsovertime.KeywordsCorrelation,StockMarketHolography,eigenvalueentropy,slidingwindowJELclassificationC60,C63,C65†‡1.IntroductionTodate,thefac
5、tthatfinancialsystemsexhibitdistinctdynamicalandchaoticbeha-vioriswellunderstood.Muchworkhasbeendevotedtotheanalysisoffinancialdataandfinancialsystems,yetthedynamicsofsuchsystemsremainsapuzzlingmystery.Commonlyusedandwelldocumentedmethodsincludeautocorrelations(MantegnaandSt
6、anley2000),non-lineartimeseriesanalysis(Kodbaetal.2005),crosscorre-lation(Coronnelloetal.2005;Coronnelloetal.2007;GarasandArgyrakis2007;Gopikrishnanetal.2000;Jungetal.2006;Lalouxetal.1999;Mantegna1999;Noh2000;PafkaandKondor2004;Plerouetal.2002;Utsugietal.2004),eigenvaluea
7、na-lysis,hierarchalclustering(Coronnelloetal.2005;Coronnelloetal.2007;GarasandArgyrakis2007;Gopikrishnanetal.2000;Jungetal.2006;Lalouxetal.1999;Man-tegna1999;Noh2000;PafkaandKondor2004;Plerouetal.2002;Utsugietal.2004).Theeventsoftherecentpast,seeingwhatisperhapsthebiggest
8、economiccrisissincethegreatdepressioninthe1930’semphasizetheimportanceoftheattemptstostudyandund
