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Correlation structure and dynamics in volatile markets

Aste, T; Shaw, W; Di Matteo, T; (2010) Correlation structure and dynamics in volatile markets. New Journal of Physics , 12 10.1088/1367-2630/12/8/085009. Gold open access

Abstract

The statistical signatures of the 'credit crunch' financial crisis that unfolded between 2008 and 2009 are investigated by combining tools from statistical physics and network theory. We devise measures for the collective behavior of stock prices based on the construction of topologically constrained graphs from cross-correlation matrices. We test the stability, statistical significance and economic meaningfulness of these graphs. The results show an intriguing trend that highlights a consistently decreasing centrality of the financial sector over the last 10 years. © IOP Publishing Ltd and Deutsche Physikalische Gesellschaft.

Type:Article
Title:Correlation structure and dynamics in volatile markets
Open access status:An open access publication
DOI:10.1088/1367-2630/12/8/085009
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Mathematics

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