کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977176 933175 2009 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Structure of a financial cross-correlation matrix under attack
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Structure of a financial cross-correlation matrix under attack
چکیده انگلیسی

We investigate the structure of a perturbed stock market in terms of correlation matrices. For the purpose of perturbing a stock market, two distinct methods are used, namely local and global perturbation. The former involves replacing a correlation coefficient of the cross-correlation matrix with one calculated from two Gaussian-distributed time series while the latter reconstructs the cross-correlation matrix just after replacing the original return series with Gaussian-distributed time series. Concerning the local case, it is a technical study only and there is no attempt to model reality. The term ‘global’ means the overall effect of the replacement on other untouched returns. Through statistical analyses such as random matrix theory (RMT), network theory, and the correlation coefficient distributions, we show that the global structure of a stock market is vulnerable to perturbation. However, apart from in the analysis of inverse participation ratios (IPRs), the vulnerability becomes dull under a small-scale perturbation. This means that these analysis tools are inappropriate for monitoring the whole stock market due to the low sensitivity of a stock market to a small-scale perturbation. In contrast, when going down to the structure of business sectors, we confirm that correlation-based business sectors are regrouped in terms of IPRs. This result gives a clue about monitoring the effect of hidden intentions, which are revealed via portfolios taken mostly by large investors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 18, 15 September 2009, Pages 3851–3858
نویسندگان
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