Dynamics of Stock Market Correlations

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Title:Dynamics of Stock Market Correlations
Creators:
Kenett, Dror Y.
Shapira, Yoash
Madi, Asaf
Bransburg-Zabary, Sharron
Gur-Gershgoren, Gitit
Ben-Jacob, Eshel
Journal or Publication Title:
AUCO Czech Economic Review, 4, 3, pp. 330-341
Uncontrolled Keywords:Correlation, Stock Market Holography, eigenvalue entropy, sliding window

Abstract

We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics of the market, through the study of correlations. This is based on the Stock Market Holography (SMH) method recently introduced. This qualitative measure is complemented by the use of the eigenvalue entropy measure, to quantify how the information in the market changes in time. Using this innovative approach, we analyzed data from the New York Stock Exchange (NYSE), and the Tel Aviv Stock Exchange (TASE), for daily trading data for the time period of 2000–2009. This paper covers these new concepts for the study of financial markets in terms of structure and information as reflected by the changes in correlations over time.

Official URL: http://www.ceeol.com/aspx/issuedetails.aspx?issueid=003C3073-C371-49F5-B661-7B172CE96EF6&articleid=D96E969B-9CF6-46D2-A434-EA3DA7FE69D2

Title:Dynamics of Stock Market Correlations
Creators:
Kenett, Dror Y.
Shapira, Yoash
Madi, Asaf
Bransburg-Zabary, Sharron
Gur-Gershgoren, Gitit
Ben-Jacob, Eshel
Uncontrolled Keywords:Correlation, Stock Market Holography, eigenvalue entropy, sliding window
Subjects:H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HF Commerce
Divisions:Section of external journals > AUCO Czech Economic Review
Journal or Publication Title:AUCO Czech Economic Review
Volume:4
Number:3
Page Range:pp. 330-341
ISSN:1802-4696
Publisher:Charles University
Related URLs:
URLURL Type
http://auco.cuni.czPublisher
http://avi.lib.cas.cz/node/183Publisher
ID Code:6314
Item Type:Article
Deposited On:01 Dec 2010 18:09
Last Modified:01 Dec 2010 17:09

Citation

Kenett, Dror Y.; Shapira, Yoash; Madi, Asaf; Bransburg-Zabary, Sharron; Gur-Gershgoren, Gitit; Ben-Jacob, Eshel (2010) Dynamics of Stock Market Correlations. AUCO Czech Economic Review, 4 (3). pp. 330-341. ISSN 1802-4696

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