Journal
EPL
Volume 86, Issue 4, Pages -Publisher
EDP SCIENCES S A
DOI: 10.1209/0295-5075/86/48005
Keywords
-
Categories
Funding
- NNSF (China) [10875102, 10325520]
Ask authors/readers for more resources
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations than the developed markets. In the Chinese market, the interactions between the stocks in a same business sector are weak, while extra interactions in unusual sectors are detected. Using a variation of the two-factor model, we simulate the interactions in financial markets. Copyright (C) EPLA, 2009
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available