Systematic analysis of group identification in stock markets

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 72, Issue 4, 2005, Pages

  Kim, Dong Hee ^a   Jeong, Hawoong ^a  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION MATRIX; GROUP IDENTIFICATION; NONTRIVIAL HIGH CORRELATIONS; STOCK MARKETS;

CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; OPTIMIZATION; PERCOLATION (COMPUTER STORAGE);

MARKETING;

EID: 28844451531     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.72.046133     Document Type: Article

References (26)

1. R. N. Mantegna and H. E. Stanley, An Introduction to Econophysics: Correlation and Complexity in Finance (Cambridge University Press, Cambridge, England, 2000);
2. J. P. Bouchaud and M. Potters, Theory of Financial Rick (Cambridge University Press, Cambridge, England, 2000).
3. R. N. Mantegna, Eur. Phys. J. B EPJBFY 1434-6028 10.1007/s100510050929 11, 193 (1999).
4. G. Bonanno, N. Vandewalle, and R. N. Mantegna, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.62.R7615 62, R7615 (2000).
5. G. Bonanno, G. Caldarelli, F. Lillo, and R. N. Mantegna, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.68.046130 68, 046130 (2003).
6. J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, and A. Kanto, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.68.056110 68, 056110 (2003).
7. J.-P. Onnela, K. Kaski, and J. Kertész, Eur. Phys. J. B EPJBFY 1434-6028 10.1140/epjb/e2004-00128-7 38, 353 (2004).
8. L. Laloux, P. Cizeau, J.-P. Bouchaud, and M. Potters, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.83.1467 83, 1467 (1999).
9. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. Nunes Amaral, and H. E. Stanley, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.83.1471 83, 1471 (1999).
10. V. Plerou, P. Gopikrishnan, B. Rosenow, Luis A. Numes Amaral, T. Guhr, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.65.066126 65, 066126 (2002).
11. P. Gopikrishnan, B. Rosenow, V. Plerou, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.64.035106 64, 035106 (R) (2001).
12. A. Utsugi, K. Ino, and M. Oshikawa, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.70.026110 70, 026110 (2004).
13. L. Giada and M. Marsili, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.63.061101 63, 061101 (2001);
14. M. Marsili, Quant. Finance 1469-7688 2, 297 (2002);
15. L. Giada and M. Marsili, Physica A PHYADX 0378-4371 10.1016/S0378-4371(02)00974-3 315, 650 (2002).
16. V. Tola, F. Lillo, M. Gallegati, and R. N. Mantegna, e-print physics/0507006.
17. A. M. Sengupta and P. P. Mitra, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.60.3389 60, 3389 (1999).
18. Our selection of stocks covers most available stock price data for the period 1983-2003 in the database. We use the adjusted daily stock prices and skip ±1days of the data when splits and the dividends of any stock occur in Eqs. 1 2 to avoid the possible artifact caused by the abrupt stock price changes [see http://help.yahoo.com/help/us/fin/quote/index.html].
19. Z. Burda and J. Jurkiewicz, Physica A PHYADX 0378-4371 10.1016/j.physa.2004.06.089 344, 67 (2004).
20. M. Potters, J.-P. Bouchaud, and L. Laloux, e-print physics/0507111.
21. P. Holme, M. Huss, and H. Jeong, Bioinformatics BOINFP 1367-4803 10.1093/bioinformatics/btg033 19, 532 (2003).
22. J. D. Noh, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.61.5981 61, 5981 (2000).
23. S. Bilke, e-print physics/0006050.
24. S. Kirkpatrick, C. D. Gerlatt, and M. P. Vecchi, Science SCIEAS 0036-8075 220, 671 (1983).
25. W. H. Press, S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery, Numerical Recipes in C (Cambridge University Press, Cambridge, England, 1992).
26. S.-W. Son, H. Jeong, and J. D. Noh, e-print cond-mat/0502672.