Index cohesive force analysis of the U.S. stock market

Journal of Engineering Science and Technology Review

Volumn 4, Issue 3, 2011, Pages 218-223

  Kenett, D Y ^a   Shapira, Y ^a   Gur Gershgoren, G ^b,c   Ben Jacob, E ^a  

^a TEL AVIV UNIVERSITY   (Israel)

^b BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^c Israel Securities Authority   (Israel)

Author keywords

ICF analysis; Residual correlation; Stock correlations

Indexed keywords

BRAIN; FINANCIAL MARKETS;

DEPENDENCY NETWORKS; FINANCIAL CRISIS; FLEXIBLE STATE; ICF ANALYSIS; MARKET STRUCTURES; PARTIAL CORRELATION; RESIDUAL CORRELATION; STOCK CORRELATIONS;

COMMERCE;

EID: 84863333651     PISSN: 17919320     EISSN: 17912377     Source Type: Journal    
DOI: 10.25103/jestr.043.03     Document Type: Article

References (32)

1. D. Sornette and R. Woodard, Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis, Econophysics Approaches to Large-Scale Business Data and Financial Crisis: 10.1007/978-4-431-53853-0_6, 101 (2010).
2. J.H. Boyd, R. Jagannathan and S. Kwak, What Caused the Current Financial Mess and What Can We Do about It? (Digest Summary), CFA Digest, 40 (2) (2010).
3. K. Bastiaensen, P. Cauwels, D. Sornette, R. Woodard and W. Zhou, The Chinese equity bubble: Ready to burst, Quantitative Finance Papers, (2009).
4. Z. Jiang, W. Zhou, D. Sornette, R. Woodard, K. Bastiaensen and P. Cauwels, Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles, Journal of Economic Behavior & Organization, 74 (3) 149 (2010).
5. A. Krawiecki and J.A. Holyst, Stochastic resonance as a model for financial market crashes and bubbles, Physica A: Statistical Mechanics and its Applications, 317 (3-4) 597 (2003).
6. D. Sornette, R. Woodard and W.-X. Zhou, The 2006-2008 oil bubble: Evidence of speculation, and prediction, Physica A: Statistical Mechanics and its Applications, 10.1016/j.physa.2009.01.011, 388 (8) 1571 (2009).
7. T. Kaizoji and D. Sornette, Market bubbles and crashes, Encyclopedia of Quantitative Finance, (2010).
8. R. Woodard, D. Sornette and M. Fedorovsky, The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations, Volume III, Quantitative Finance Papers, (2010).
9. T. Lux, Herd behaviour, bubbles and crashes, The Economic Journal, 105 (431) pp. 881 (1995).
10. F. Lillo, G. Bonanno and R.N. Mantegna, Variety of stock returns in normal and extreme market days: The August 1998 crisis, Empirical Science of Financial Fluctuations: pp. 77 (2002).
11. F. Lillo and R.N. Mantegna, Dynamics of a financial market index after a crash, Physica A: Statistical Mechanics and its Applications, 338 (1-2) 125 (2004).
12. V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, T. Guhr and H.E. Stanley, Random matrix approach to cross correlations in financial data, Physical Review E, 65 (6) pp. 66126 (2002).
13. B. Podobnik, D. Wang, D. Horvatic, I. Grosse and H. Stanley, Time-lag cross-correlations in collective phenomena, EPL (Europhysics Letters), 90 pp. 68001 (2010).
14. B. Podobnik, D. Horvatic, A.M. Petersen and H.E. Stanley, Cross-correlations between volume change and price change, Proceedings of the National Academy of Sciences, 106 (52) pp. 22079 (2009).
15. B. Podobnik and H.E. Stanley, Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series, Physical Review Letters, 100 (8) pp. 84102 (2008).
16. L. Xu, P.C. Ivanov, K. Hu, Z. Chen, A. Carbone and H. Stanley, Quantifying signals with power-law correlations: a comparative study of detrending and moving average techniques, Phys. Rev. E, 71 pp. 051101 (2005).
17. P.A. Reigneron, R. Allez and J.P. Bouchaud, Principal Regression Analysis and the index leverage effect, Arxiv preprint arXiv:1011.5810, (2010).
18. D. Harmon, M.A.M. de Aguiar, D.D. Chinellato, D. Braha, I.R. Epstein and Y. Bar-Yam, Predicting economic market crises using measures of collective panic, Arxiv preprint arXiv:1102.2620, (2011).
19. D.Y. Kenett, Y. Shapira, A. Madi, S. Bransburg-Zabary, G. Gur-Gershgoren and E. Ben Jacob, Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002, PLoS ONE, 6 (4) pp. e19378, (2011).
20. D.Y. Kenett, Y. Shapira and E. Ben-Jacob, RMT assessments of market latent information embedded in the stocks' raw, normalized, and partial correlations, Hindawi Journal of Probability and Statistics, 2009: pp. 249370, 10.1155/2009/249370, (2009).
21. Y. Shapira, D.Y. Kenett and E. Ben-Jacob, The Index cohesive effect on stock market correlations, The European Physical Journal B, 72 (4): pp. 657 (2009).
22. D.Y. Kenett, M. Tumminello, A. Madi, G. Gur-Gershgoren, R.N. Mantegna and E. Ben-Jacob, Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market, PLoS ONE, 5 (12): pp. e15032 (2010).
23. R.N. Mantegna and H.E. Stanley, An Introduction to Econophysics: Correlation and Complexity in Finance, Cambridge, UK: Cambridge University Press, 2000.
24. K. Baba, R. Shibata and M. Sibuya, Partial correlation and conditional correlation as measures of conditional independence, Australian & New Zealand Journal of Statistics, 46 (4) 657 (2004).
25. L. Laloux, P. Cizeau, J.P. Bouchaud and M. Potters, Noise dressing of financial correlation matrices, Physical Review Letters, 83 (7) 1467 (1999).
26. J.P. Bouchaud and M. Potters, Theory of Financial Risk and Derivative Pricing: Cambridge University Press, 2003.
27. J.P. Onnela, A. Chakraborti, K. Kaski and J. Kertesz, Dynamic asset trees and portfolio analysis, European Physical Journal B, 30 (3) 285 (2002).
28. J.P. Onnela, A. Chakraborti, K. Kaski and J. Kertesz, Dynamic asset trees and Black Monday, Physica A, 324 (1-2) 247 (2003).
29. M.J. Mauboussin, Revisiting market efficiency: the stock market as a Complex Adaptive System, Journal of Applied Corporate Finance 14 (4) 47 (2005).
30. Y. Demyanyk and O.V. Hemert, Understanding the Subprime Mortgage Crisis: pp. 1-33(2009).
31. P. Sieczk, D. Sornette and J.A. Holyst, The Lehman Brothers Effect and Bankruptcy Cascades, Swiss Finance Institute Research Paper 10-06 (2010).
32. J. Taylor, The financial crisis and the policy responses: An empirical analysis of what went wrong, NBER Working paper, (2009).