Evolutions of fluctuation modes and inner structures of global stock markets

doi:http://dx.doi.org/10.1142/S0217979216502374

CORC > 理论物理研究所 > 中国科学院理论物理研究所 > 理论物理所科研产出 > 理论物理所1978-2010年知识产出

	Evolutions of fluctuation modes and inner structures of global stock markets
	Yan, Y 3; Wang, L ; Liu, MX ; Chen, XS
刊名	INTERNATIONAL JOURNAL OF MODERN PHYSICS B
	2016
卷号	30 期号:32 页码:1650237
关键词	Global stock market CROSS-CORRELATION covariance matrix CORRELATION-MATRICES principle fluctuation mode analysis FINANCIAL NETWORKS complex network INFORMATION RETURNS INDEXES NOISE TREES TIMES LAG
DOI	http://dx.doi.org/10.1142/S0217979216502374
英文摘要	The paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries' locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets.
学科主题	Physics
语种	英语
资助机构	National Science Foundation of China [71103179] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS
内容类型	期刊论文
源URL	[http://ir.itp.ac.cn/handle/311006/23134]
专题	理论物理研究所_理论物理所1978-2010年知识产出
作者单位	1.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Yan, Y,Wang, L,Liu, MX,et al. Evolutions of fluctuation modes and inner structures of global stock markets[J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS B,2016,30(32):1650237.
APA	Yan, Y,Wang, L,Liu, MX,&Chen, XS.(2016).Evolutions of fluctuation modes and inner structures of global stock markets.INTERNATIONAL JOURNAL OF MODERN PHYSICS B,30(32),1650237.
MLA	Yan, Y,et al."Evolutions of fluctuation modes and inner structures of global stock markets".INTERNATIONAL JOURNAL OF MODERN PHYSICS B 30.32(2016):1650237.