Alternation of different fluctuation regimes in the stock market dynamics

Physica A: Statistical Mechanics and its Applications

Volumn 330, Issue 3-4, 2003, Pages 605-621

  Kwapien J ^a,b   Drozdz, S ^a,b,c   Speth, J ^a  

^a FORSCHUNGSZENTRUM JÜLICH   (Germany)

^b INSTITUTE OF NUCLEAR PHYSICS   (Poland)

^c UNIVERSITY OF RZESZÓW   (Poland)

Author keywords

Central limit theorem; Correlation matrix; Financial market; Stylized facts

Indexed keywords

COMMERCE; CORRELATION METHODS; FINANCE; INVENTORY CONTROL; STATISTICAL METHODS;

STOCK MARKET INDEX;

INDUSTRIAL ECONOMICS;

EID: 0242691711     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2003.09.012     Document Type: Article

References (28)

1. Mandelbrot B. J. Business. 36:1963;394-419.
2. Mantegna R.N., Stanley H.E. Nature. 376:1995;46-49.
3. Lux T. Appl. Fin. Econom. 6:1996;463-475.
4. Plerou V., Gopikrishnan P., Amaral L.A.N., Meyer M., Stanley H.E. Phys. Rev. E. 60:1999;6519-6529.
5. Gopikrishnan P., Plerou V., Amaral L.A.N., Meyer M., Stanley H.E. Phys. Rev. E. 60:1999;5305-5316.
6. Drożdż S., Kwapień J., Grümmer F., Ruf F., Speth J. Acta Phys. Pol. B. 34:2003;4293-4306.
7. Mehta M.L. Random Matrices. 1991;Academic Press, Boston.
8. Laloux L., Cizeau P., Bouchaud J.-P., Potters M. Phys. Rev. Lett. 83:1999;1467-1470.
9. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., Stanley H.E. Phys. Rev. Lett. 83:1999;1471-1474.
10. Drożdż S., Grümmer F., Górski A.Z., Ruf F., Speth J. Physica A. 287:2000;440-449.
11. Drożdż S., Grümmer F., Ruf F., Speth J. Physica A. 294:2001;226.
12. Drożdż S., Kwapień J., Grümmer F., Ruf F., Speth J. Physica A. 299:2001;144-153.
13. Kwapień J., Drożdż S., Grümmer F., Ruf F., Speth J. Physica A. 309:2002;171-182.
14. Cizeau P., Potters M., Bouchaud J.-P. Quant. Finance. 1:2001;217-222.
15. C. Mounfield, P. Ormerod, Market correlation and market volatility in US blue chip stocks, Crowell Memorial Prize Submission, 2001.
16. http://www.taq.com (data from NYSE) and H. Goeppl, Karlsruher Kapitalmarktdatenbank (KKMDB), Institut für Entscheidungstheorie u. Unternehmensforschung, Universität Karlsruhe (TH) (data from Deutsche Börse).
17. Sengupta A.M., Mitra P.P. Phys. Rev. E. 60:1999;3389-3392.
18. Gopikrishnan P., Rosenow B., Plerou V., Stanley H.E. Phys. Rev. E. 64:2001;. 035106(R)-1(74).
19. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., Guhr T., Stanley H.E. Phys. Rev. E. 65:2002;66126.
20. J.-P. Onnela, A. Chakraborti, K. Kaski, K. Kertész, A. Kanto, Dynamics of market correlations: taxonomy and portfolio analysis, cond-mat/0302546, 2003.
21. C.A. Tracy, H. Widom, The Distribution of the Largest Eigenvalue in the Gaussian Ensembles: β = 1,2,4, solv-int/9707001, 1997.
22. Johnstone I.M. Ann. Stat. 29:2001;295.
23. Lillo F., Mantegna R.N. Eur. Phys. J. B. 15:2000;603-606 Lillo F., Mantegna R.N. Phys. Rev. E. 62:2000;6126-6134 Lillo F., Mantegna R.N. Physica A. 299:2001;161-167.
24. Lillo F., Mantegna R.N. Eur. Phys. J. B. 15:2000;603-606 Lillo F., Mantegna R.N. Phys. Rev. E. 62:2000;6126-6134 Lillo F., Mantegna R.N. Physica A. 299:2001;161-167.
25. Lillo F., Mantegna R.N. Eur. Phys. J. B. 15:2000;603-606 Lillo F., Mantegna R.N. Phys. Rev. E. 62:2000;6126-6134 Lillo F., Mantegna R.N. Physica A. 299:2001;161-167.
26. S. Drożdż, F. Grümmer, F. Ruf, J. Speth, in: H. Takayasu (Ed.), Empirical Science of Financial Fluctuations, Springer, Tokyo, 2002, p. 41.
27. Plerou V., Gopikrishnan P., Stanley H.E. Nature. 421:2003;130 M. Potters, J.-P. Bouchaud, Comment on "Two-phase behavior of financial markets", cond-mat/0304451, 2003.
28. Plerou V., Gopikrishnan P., Stanley H.E. Nature. 421:2003;130 M. Potters, J.-P. Bouchaud, Comment on "Two-phase behavior of financial markets", cond-mat/0304451, 2003.