The index cohesive effect on stock market correlations

DOI10.1140/epjb/e2009-00384-yzbMath1189.91130OpenAlexW2161021984MaRDI QIDQ978942

Yoash Shapira, Dror Y. Kenett, Eshel Ben-Jacob

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1140/epjb/e2009-00384-y

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

Related Items (5)

A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ New collectivity measures for financial covariances and correlations ⋮ Confidence regions for entries of a large precision matrix ⋮ A local fitting based multifractal detrend fluctuation analysis method ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion

Cites Work

• Unnamed Item
• Statistical Theory of the Energy Levels of Complex Systems. I
• On the Diffusion of New Technology: A Game Theoretic Approach
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• Introduction to Econophysics

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