메뉴 건너뛰기




Volumn 6, Issue 4, 2011, Pages

Index cohesive force analysis reveals that the US market became prone to systemic collapses since 2002

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTICAL PARAMETERS; ARTICLE; COMMERCIAL PHENOMENA; CONTROLLED STUDY; CORRELATION ANALYSIS; ECONOMICS; EIGENVALUE ENTROPY; FINANCIAL MANAGEMENT; INDEX COHESIVE FORCE; QUANTITATIVE ANALYSIS; STOCK MARKET DYNAMICS; UNITED STATES; INVESTMENT;

EID: 79955698096     PISSN: None     EISSN: 19326203     Source Type: Journal    
DOI: 10.1371/journal.pone.0019378     Document Type: Article
Times cited : (66)

References (39)
  • 2
    • 79955703600 scopus 로고    scopus 로고
    • What Caused the Current Financial Mess and What Can We Do about It?(Digest Summary)
    • Boyd JH, Jagannathan R, Kwak S, (2010) What Caused the Current Financial Mess and What Can We Do about It?(Digest Summary). CFA Digest 40.
    • (2010) CFA Digest , vol.40
    • Boyd, J.H.1    Jagannathan, R.2    Kwak, S.3
  • 9
    • 0000015564 scopus 로고
    • Herd behaviour, bubbles and crashes
    • Lux T, (1995) Herd behaviour, bubbles and crashes. The Economic Journal 105: 881-896.
    • (1995) The Economic Journal , vol.105 , pp. 881-896
    • Lux, T.1
  • 15
    • 40849127187 scopus 로고    scopus 로고
    • Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series
    • Podobnik B, Stanley HE, (2008) Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series. Physical Review Letters 100: 84102.
    • (2008) Physical Review Letters , vol.100 , pp. 84102
    • Podobnik, B.1    Stanley, H.E.2
  • 16
    • 26944462286 scopus 로고    scopus 로고
    • Quantifying signals with power-law correlations: a comparative study of detrending and moving average techniques
    • Xu L, Ivanov PC, Hu K, Chen Z, Carbone A, et al. (2005) Quantifying signals with power-law correlations: a comparative study of detrending and moving average techniques. Phys Rev E 71: 051101.
    • (2005) Phys Rev E , vol.71 , pp. 051101
    • Xu, L.1    Ivanov, P.C.2    Hu, K.3    Chen, Z.4    Carbone, A.5
  • 17
    • 79955682566 scopus 로고    scopus 로고
    • Principal Regression Analysis and the index leverage effect
    • Reigneron PA, Allez R, Bouchaud JP, (2010) Principal Regression Analysis and the index leverage effect. Arxiv preprint arXiv pp. 10115810.
    • (2010) ArXiv Preprint ArXiv , pp. 10115810
    • Reigneron, P.A.1    Allez, R.2    Bouchaud, J.P.3
  • 19
    • 79951714186 scopus 로고    scopus 로고
    • RMT assessments of market latent information embedded in the stocks' raw, normalized, and partial correlations
    • Kenett DY, Shapira Y, Ben-Jacob E, (2009) RMT assessments of market latent information embedded in the stocks' raw, normalized, and partial correlations. Hindawi Journal of Probability and Statistics 2009: 249370.
    • (2009) Hindawi Journal of Probability and Statistics , vol.2009 , pp. 249370
    • Kenett, D.Y.1    Shapira, Y.2    Ben-Jacob, E.3
  • 21
    • 36949015566 scopus 로고    scopus 로고
    • Unsupervised feature selection under perturbations: meeting the challenges of biological data
    • Varshavsky R, Gottlieb A, Horn D, Linial M, (2007) Unsupervised feature selection under perturbations: meeting the challenges of biological data. Bioinformatics 23: 3343-3349.
    • (2007) Bioinformatics , vol.23 , pp. 3343-3349
    • Varshavsky, R.1    Gottlieb, A.2    Horn, D.3    Linial, M.4
  • 22
    • 33747883187 scopus 로고    scopus 로고
    • Novel unsupervised feature filtering of biological data
    • Varshavsky R, Gottlieb A, Linial M, Horn D, (2006) Novel unsupervised feature filtering of biological data. Bioinformatics 22: e507-e513.
    • (2006) Bioinformatics , vol.22 , pp. 507-513
    • Varshavsky, R.1    Gottlieb, A.2    Linial, M.3    Horn, D.4
  • 24
    • 11844293410 scopus 로고    scopus 로고
    • Partial correlation and conditional correlation as measures of conditional independence
    • Baba K, Shibata R, Sibuya M, (2004) Partial correlation and conditional correlation as measures of conditional independence. Australian & New Zealand Journal of Statistics 46: 657-664.
    • (2004) Australian & New Zealand Journal of Statistics , vol.46 , pp. 657-664
    • Baba, K.1    Shibata, R.2    Sibuya, M.3
  • 25
    • 0034730140 scopus 로고    scopus 로고
    • Singular value decomposition for genome-wide expression data processing and modeling
    • Alter O, Brown P, Botstein D, (2000) Singular value decomposition for genome-wide expression data processing and modeling. PNAS 97: 10101-10106.
    • (2000) PNAS , vol.97 , pp. 10101-10106
    • Alter, O.1    Brown, P.2    Botstein, D.3
  • 28
    • 79955696966 scopus 로고    scopus 로고
    • Theory of Financial Risk and Derivative Pricing Cambridge University Press
    • Bouchaud JP, Potters M, (2003) Theory of Financial Risk and Derivative Pricing Cambridge University Press.
    • (2003)
    • Bouchaud, J.P.1    Potters, M.2
  • 31
    • 22944478874 scopus 로고    scopus 로고
    • Revisiting market efficiency: the stock market as a Complex Adaptive System
    • Mauboussin MJ, (2005) Revisiting market efficiency: the stock market as a Complex Adaptive System. Journal of Applied Corporate Finance 14: 47-55.
    • (2005) Journal of Applied Corporate Finance , vol.14 , pp. 47-55
    • Mauboussin, M.J.1
  • 32
    • 0003114587 scopus 로고
    • The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
    • Lintner J, (1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics 47: 13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 33
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe WF, (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 34
    • 34249802884 scopus 로고    scopus 로고
    • Self-Consistent Asset Pricing Models
    • Malevergne Y, Sornette D, (2007) Self-Consistent Asset Pricing Models. Physica A 382: 149-171.
    • (2007) Physica A , vol.382 , pp. 149-171
    • Malevergne, Y.1    Sornette, D.2
  • 36
    • 0001833551 scopus 로고
    • The Capital Asset Pricing Model: Some Empirical Tests
    • In: Jensen M, editors, New York, Praeger Publishers
    • Black F, Jensen MichaelC, Scholes Myron, (1972) The Capital Asset Pricing Model: Some Empirical Tests. In: Jensen M, editors. Studies in the Theory of Capital Markets New York Praeger Publishers.
    • (1972) Studies in the Theory of Capital Markets
    • Black, F.1    Jensen, M.C.2    Scholes, M.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.