Structure and dynamics of stock market in times of crisis

• Structure and dynamics of the stock market during crises are analyzed systemically.
• Local clustering and global expansion of the stock market have been uncovered.
• Graph edit distance and edge statistics capture the dynamical evolution of the stock market.
• Power-law distribution of edges' duration time and the backbone of the stock market are found.
• The edit distance is capable of predicting the VIX index.

Daily correlations among 322 S&P 500 constituent stocks are investigated by means of correlation-based (CB) network. By using the heterogeneous time scales, we identify global expansion and local clustering market behaviors during crises, which are mainly caused by community splits and inter-sector edge number decreases. The CB networks display distinctive community and sector structures. Graph edit distance is applied to capturing the dynamics of CB networks in which drastic structure reconfigurations can be observed during crisis periods. Edge statistics reveal the power-law nature of edges' duration time distribution. Despite the networks' strong structural changes during crises, we still find some long-duration edges that serve as the backbone of the stock market. Finally the dynamical change of network structure has shown its capability in predicting the implied volatility index (VIX).