The q-dependent detrended cross-correlation analysis of stock market
| Autor: | H. Eugene Stanley, Yougui Wang, Andrea Fenu, Longfeng Zhao, Boris Podobnik, Wei Li |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Statistical Finance (q-fin.ST) Quantitative Finance - Statistical Finance Statistical and Nonlinear Physics Multifractal system Complex network 01 natural sciences q-dependent 010305 fluids & plasmas FOS: Economics and business Order (exchange) 0103 physical sciences Econometrics Portfolio Stock market Statistics Probability and Uncertainty Portfolio optimization 010306 general physics Representation (mathematics) Random matrix Mathematics |
| Popis: | The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those among large fluctuations. The large and small fluctuations are dominated by different groups of stocks. We use complex network representation to study these q-dependent matrices and discover some new identities. By utilizing those q-dependent correlation-based networks, we are able to construct some portfolio by those most independent stocks which consistently perform the best. The optimal multifractal order for portfolio optimization is approximately $q=2$. These results have deepened our understanding about the collective behaviors of the complex financial system. 25 pages, 16 figures |
| Databáze: | OpenAIRE |
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