Journal
EPL
Volume 131, Issue 5, Pages -Publisher
IOP PUBLISHING LTD
DOI: 10.1209/0295-5075/131/50001
Keywords
05; 90; +m; 05; 45; Tp; 02; 10; Yn
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In recent years, the dynamics of the financial correlation matrix has been widely studied. This study applies the Frobenius distance-based kNN (k nearest neighbour) network to analyse the time-varying characteristics of the correlation matrix, especially during the period of drastic change. We use the influence-strength (IS) index to detect when the correlation matrix structure changes dramatically. Based on the data from the US stock market, we tested the effectiveness of the method. The IS-based method accurately detects some important events from the 2008 crisis to the 2020 crisis. Our calculations indicate that IS-based analysis provides an effective tool for analysing financial correlation dynamics.
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