کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979540 | 933365 | 2007 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Correlation patterns of NIKKEI index constituents
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Correlation patterns of NIKKEI index constituents Correlation patterns of NIKKEI index constituents](/preview/png/979540.png)
چکیده انگلیسی
An analysis of minute-tick data from the Japanese stock index market is reported for a three-year period of 2000/7/4-2003/6/30. Correlation patterns and principal component distributions were determined for 180 constituents of the NIKKEI 225 index, excluding the effects of after-hours trading and constituent revisions. The first principal component describes about 30% of the total variance in constituent log returns (subject to slow decrease with the size of the correlation window), suggesting that a small number of physical parameters may describe the internal dynamics of the index, allowing for an adiabatic representation of index dynamics, and a self-consistent mean-field model of its constituents. Finally, it is shown that the introduction of a time gap into minute-tick data significantly improves the correlations of the price-weighed index with its constituents, even when such gap inserts are strictly penalized. This phenomenon corresponds to a heterogenous response time of index constituents to the adiabatic collective motion and also demonstrates the inhomogeneous nature of equidistant time ticks in financial trading.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 1, 1 September 2007, Pages 16-21
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 1, 1 September 2007, Pages 16-21
نویسندگان
Katsuhiko Hayashi, Taisei Kaizoji, LukáÅ¡ Pichl,