메뉴 건너뛰기




Volumn 2, Issue , 2012, Pages

Quantifying the behavior of stock correlations under market stress

Author keywords

[No Author keywords available]

Indexed keywords

ARTICLE; ECONOMICS; HUMAN; INVESTMENT; STATISTICAL MODEL; SYSTEM ANALYSIS;

EID: 84868299916     PISSN: None     EISSN: 20452322     Source Type: Journal    
DOI: 10.1038/srep00752     Document Type: Article
Times cited : (172)

References (50)
  • 9
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power-law distributions in financial market fluctuations
    • DOI 10.1038/nature01624
    • Gabaix, X., Gopikrishnan, P., Plerou, V. & Stanley, H. E. A theory of power-law distributions in financial markets. Nature 423, 267-270 (2003). (Pubitemid 40852693)
    • (2003) Nature , vol.423 , Issue.6937 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 11
    • 37649027271 scopus 로고    scopus 로고
    • Quantifying stock-price response to demand fluctuations
    • Plerou, V., Gopikrishnan, P., Gabaix, X. & Stanley, H. E. Quantifying stock-price response to demand fluctuations. Phys. Rev. E 66, 027104 (2002).
    • (2002) Phys. Rev. e , vol.66 , pp. 027104
    • Plerou, V.1    Gopikrishnan, P.2    Gabaix, X.3    Stanley, H.E.4
  • 12
  • 13
    • 78650472010 scopus 로고    scopus 로고
    • Complex dynamics of our economic life on different scales: Insights from search engine query data
    • Preis, T., Reith, D. & Stanley, H. E. Complex dynamics of our economic life on different scales: insights from search engine query data. Phil. Trans. R. Soc. A 368, 5707-5719 (2010).
    • (2010) Phil. Trans. R. Soc. A , vol.368 , pp. 5707-5719
    • Preis, T.1    Reith, D.2    Stanley, H.E.3
  • 14
    • 79951493626 scopus 로고    scopus 로고
    • Ensuring the data-rich future of the social sciences
    • King, G. Ensuring the Data-Rich Future of the Social Sciences. Science 331, 719-721 (2011).
    • (2011) Science , vol.331 , pp. 719-721
    • King, G.1
  • 15
    • 67749145794 scopus 로고    scopus 로고
    • Predicting the behavior of techno-social systems
    • Vespignani, A. Predicting the Behavior of Techno-Social Systems. Science 325, 425-428 (2009).
    • (2009) Science , vol.325 , pp. 425-428
    • Vespignani, A.1
  • 16
    • 78651245148 scopus 로고    scopus 로고
    • Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws
    • Petersen, A. M., Wang, F., Havlin, S. & Stanley, H. E. Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws. Phys. Rev. E 82, 036114 (2010).
    • (2010) Phys. Rev. e , vol.82 , pp. 036114
    • Petersen, A.M.1    Wang, F.2    Havlin, S.3    Stanley, H.E.4
  • 18
    • 79953303465 scopus 로고    scopus 로고
    • Econophysics-complex correlations and trend switchings in financial time series
    • Preis, T. Econophysics-complex correlations and trend switchings in financial time series. Eur. Phys. J.-Spec. Top. 194, 5-86 (2011).
    • (2011) Eur. Phys. J.-Spec. Top. , vol.194 , pp. 5-86
    • Preis, T.1
  • 20
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. M. Portfolio Selection. J. Finance 7, 77-91 (1952).
    • (1952) J. Finance , vol.7 , pp. 77-91
    • Markowitz, H.M.1
  • 23
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1960-1990?
    • Longin, F. & Solnik, B. Is the correlation in international equity returns constant: 1960-1990? J. Int. Money Finance 14, 3-26 (1995).
    • (1995) J. Int. Money Finance , vol.14 , pp. 3-26
    • Longin, F.1    Solnik, B.2
  • 24
    • 0001121297 scopus 로고    scopus 로고
    • Co-movement of european equity markets before and after the 1987 crash
    • Meric, I. & Meric, G. Co-Movement of European Equity Markets Before and After the 1987 Crash. Multinatnl. Finance J. 1, 137-152 (1997).
    • (1997) Multinatnl. Finance J. , vol.1 , pp. 137-152
    • Meric, I.1    Meric, G.2
  • 25
    • 80051930879 scopus 로고    scopus 로고
    • Time-varying stock market correlations and correlation breakdown
    • Rey, D. M. Time-varying Stock Market Correlations and Correlation Breakdown. Schweizerische Gesellschaft für Finanzmarktforschung 4, 387-412 (2000).
    • (2000) Schweizerische Gesellschaft für Finanzmarktforschung , vol.4 , pp. 387-412
    • Rey, D.M.1
  • 26
    • 34347257437 scopus 로고    scopus 로고
    • Changing correlation and equity portfolio diversification failure for linear factor models during market declines
    • Sancetta, A. & Satchell, S. E. Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines. Appl. Math. Finance 14, 227-242 (2007).
    • (2007) Appl. Math. Finance , vol.14 , pp. 227-242
    • Sancetta, A.1    Satchell, S.E.2
  • 28
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-Agent model of a financial market
    • Lux, T. & Marchesi, M. Scaling and criticality in a stochastic multi-Agent model of a financial market. Nature 397, 498-500 (1999).
    • (1999) Nature , vol.397 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 31
    • 79955698096 scopus 로고    scopus 로고
    • Index cohesive force analysis reveals that the us market became prone to systemic collapses since, 2002
    • Kenett, D. Y. et al. Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002. PLoS One 6, e19378 (2011).
    • (2011) PLoS One , vol.6
    • Kenett, D.Y.1
  • 32
    • 84856755474 scopus 로고    scopus 로고
    • EvolvementofUniformity and volatility in the stressed global financial village
    • Kenett, D.Y., Raddant, M., Lux, T. & Ben-Jacob, E. EvolvementofUniformity and volatility in the stressed global financial village. PLoS One 7, e31144 (2012).
    • (2012) PLoS One , vol.7
    • Kenett, D.Y.1    Raddant, M.2    Lux, T.3    Ben-Jacob, E.4
  • 34
    • 0034388776 scopus 로고    scopus 로고
    • Herd behavior and aggregate fluctuations in financial markets
    • Cont, R. & Bouchaud, J. P. Herd behavior and aggregate fluctuations in financial markets. Macroecon. Dyn. 4, 170196 (2000).
    • (2000) Macroecon. Dyn. , vol.4 , pp. 170196
    • Cont, R.1    Bouchaud, J.P.2
  • 35
    • 79953294551 scopus 로고    scopus 로고
    • GPU-computing in econophysics and statistical physics
    • Preis, T. GPU-computing in econophysics and statistical physics. Eur. Phys. J.-Spec. Top. 194, 87-119 (2011).
    • (2011) Eur. Phys. J.-Spec. Top. , vol.194 , pp. 87-119
    • Preis, T.1
  • 36
    • 33645722025 scopus 로고    scopus 로고
    • Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks
    • Eisler, Z. & Kertesz, J. Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks. Phys. Rev. E 73, 046109 (2006).
    • (2006) Phys. Rev. e , vol.73 , pp. 046109
    • Eisler, Z.1    Kertesz, J.2
  • 37
    • 78651071058 scopus 로고    scopus 로고
    • Simulating the microstructure of financial markets
    • Preis, T. Simulating the microstructure of financial markets. Journal of Physics: Conference Series 221, 012019 (2010).
    • (2010) Journal of Physics: Conference Series , vol.221 , pp. 012019
    • Preis, T.1
  • 38
    • 79952253539 scopus 로고    scopus 로고
    • Individual and collective stock dynamics: Intra-day seasonalities
    • Allez, R. & Bouchaud, J. P. Individual and collective stock dynamics: intra-day seasonalities. New J. Phys. 13, 025010 (2011).
    • (2011) New J. Phys. , vol.13 , pp. 025010
    • Allez, R.1    Bouchaud, J.P.2
  • 39
    • 78650887522 scopus 로고    scopus 로고
    • Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market
    • Kenett, D. Y. et al. Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market. PLoS ONE 5, e15032 (2010).
    • (2010) PLoS ONE , vol.5
    • Kenett, D.Y.1
  • 40
    • 79958015007 scopus 로고    scopus 로고
    • Principal regression analysis and the index leverage effect
    • Reigneron, P. A., Allez, R. & Bouchaud, J. P. Principal regression analysis and the index leverage effect. Physica A 390, 3026-3035 (2011).
    • (2011) Physica A , vol.390 , pp. 3026-3035
    • Reigneron, P.A.1    Allez, R.2    Bouchaud, J.P.3
  • 41
    • 77952844456 scopus 로고    scopus 로고
    • Average correlation and stock market returns
    • Pollet, J. M. & Wilson, M. Average correlation and stock market returns. J. Finance Econ. 96, 364-380 (2010).
    • (2010) J. Finance Econ. , vol.96 , pp. 364-380
    • Pollet, J.M.1    Wilson, M.2
  • 42
    • 0035472159 scopus 로고    scopus 로고
    • More stylized facts of financial markets: Leverage effect and downside correlations
    • DOI 10.1016/S0378-4371(01)00282-5, PII S0378437101002825
    • Bouchaud, J. P. & Potters, M. More stylized facts of financial markets: leverage effect and downside correlations. Physica A 299, 60-70 (2001). (Pubitemid 33018355)
    • (2001) Physica A: Statistical Mechanics and its Applications , vol.299 , Issue.1-2 , pp. 60-70
    • Bouchaud, J.-P.1    Potters, M.2
  • 43
    • 37649027602 scopus 로고    scopus 로고
    • Leverage effect in financial markets: The retarded volatility model
    • Bouchaud, J. P., Matacz, A. & Potters, M. Leverage effect in financial markets: The retarded volatility model. Phys. Rev. Lett. 87, 228701 (2001).
    • (2001) Phys. Rev. Lett. , vol.87 , pp. 228701
    • Bouchaud, J.P.1    Matacz, A.2    Potters, M.3
  • 44
    • 85008862602 scopus 로고    scopus 로고
    • Correlation structure of extreme stock returns
    • Cizeau, P., Potters, M. & Bouchaud, J. P. Correlation structure of extreme stock returns. Quant. Finan. 1, 217-222 (2001).
    • (2001) Quant. Finan. , vol.1 , pp. 217-222
    • Cizeau, P.1    Potters, M.2    Bouchaud, J.P.3
  • 45
    • 78651456877 scopus 로고    scopus 로고
    • Persistent collective trend in stock markets
    • Balogh, E., Simonsen, I., Nagy, B. & Neda, Z. Persistent collective trend in stock markets. Phys. Rev. E 82, 066113 (2010).
    • (2010) Phys. Rev. e , vol.82 , pp. 066113
    • Balogh, E.1    Simonsen, I.2    Nagy, B.3    Neda, Z.4
  • 47
    • 84865067971 scopus 로고    scopus 로고
    • Quantifying meta-correlations in financial markets
    • Kenett, D. Y., Preis, T., Gur-Gershgoren, G. & Ben-Jacob, E. Quantifying meta-correlations in financial markets. EPL 99, 38001 (2012).
    • (2012) EPL , vol.99 , pp. 38001
    • Kenett, D.Y.1    Preis, T.2    Gur-Gershgoren, G.3    Ben-Jacob, E.4
  • 48
    • 84864796266 scopus 로고    scopus 로고
    • Dependency network and node influence: Application to the study of financial markets
    • Kenett, D. Y., Preis, T., Gur-Gershgoren, G. & Ben-Jacob E. Dependency network and node influence: Application to the study of financial markets. Int. Jour. Bifur. Chaos 22, 1250181 (2012).
    • (2012) Int. Jour. Bifur. Chaos , vol.22 , pp. 1250181
    • Kenett, D.Y.1    Preis, T.2    Gur-Gershgoren, G.3    Ben-Jacob, E.4
  • 49
    • 0000678972 scopus 로고
    • Contributions to the mathematical theory of evolution II: Skew variations in homogeneous material
    • Pearson, K. Contributions to the mathematical theory of evolution II: skew variations in homogeneous material. Phil. Trans. R. Soc. Lond. A 186, 343-414 (1895).
    • (1895) Phil. Trans. R. Soc. Lond. A , vol.186 , pp. 343-414
    • Pearson, K.1
  • 50
    • 84868283268 scopus 로고    scopus 로고
    • was retrieved on 23rd October 2011
    • The URL http://en.wikipedia.org/wiki/Ticker-symbol was retrieved on 23rd October 2011.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.