Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979540 | Physica A: Statistical Mechanics and its Applications | 2007 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Katsuhiko Hayashi, Taisei Kaizoji, LukáÅ¡ Pichl,