The q-dependent detrended cross-correlation analysis of stock market

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成果类型：

期刊论文

作者：

Zhao, Longfeng*;Li, Wei;Fenu, Andrea;Podobnik, Boris;Wang, Yougui;...

通讯作者：

Zhao, Longfeng

作者机构：

[Zhao, Longfeng; Li, Wei] Hua Zhong Cent China Normal Univ, Complex Sci Ctr, Wuhan 430079, Hubei, Peoples R China.

[Zhao, Longfeng; Li, Wei] Hua Zhong Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China.

[Zhao, Longfeng; Fenu, Andrea; Wang, Yougui; Podobnik, Boris; Stanley, H. Eugene] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA.

[Zhao, Longfeng; Fenu, Andrea; Wang, Yougui; Podobnik, Boris; Stanley, H. Eugene] Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA.

[Fenu, Andrea] Univ Cagliari, Dept Econ & Management, Cagliari, Italy.

通讯机构：

[Zhao, Longfeng] H

[Zhao, Longfeng] B

Hua Zhong Cent China Normal Univ, Complex Sci Ctr, Wuhan 430079, Hubei, Peoples R China.

Hua Zhong Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China.

Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA.

语种：

英文

关键词：

quantitative finance;financial networks

期刊：

Journal of Statistical Mechanics: Theory and Experiment

ISSN：

1742-5468

年：

2018

卷：

2018

期：

页码：

023402

DOI：

10.1088/1742-5468/aa9db0

基金类别：

This work is supported in part by the Programme of Introducing Talents of Discipline to Universities under grant NO. B08033 and the program of China Scholarship Council (No. 201606770023). This work is also supported by the National Natural Science Foundation of China (Grant No. 61773069).

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摘要：

Properties of the q-dependent cross-correlation matrices of the stock market have been analyzed by using random matrix theory and complex networks. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those among large fluctuations. The large and small fluctuations are dominated by different groups of stocks. We use complex network representation to study these q-dependent matrices and discover some new identities. By utilizing those...

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