Dynamics of Stock Market Correlations

Dror Y. Kenett, Yoash Shapira, Asaf Madi, Sharron Bransburg-Zabary, Gitit Gur-Gershgoren and Eshel Ben-Jacob ()
Additional contact information
Dror Y. Kenett: Tel-Aviv University, School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv, Israel
Yoash Shapira: Tel-Aviv University, School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv, Israel
Asaf Madi: Tel Aviv University, Faculty of Medicine, Tel Aviv, Israel
Sharron Bransburg-Zabary: Tel Aviv University, Faculty of Medicine, Tel Aviv, Israel
Gitit Gur-Gershgoren: Israel Securities Authority, Jerusalem, Israel
Eshel Ben-Jacob: Tel-Aviv University, School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv, Israel

Czech Economic Review, 2010, vol. 4, issue 3, 330-340

Abstract: We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics of the market, through the study of correlations. This is based on the Stock Market Holography (SMH) method recently introduced. This qualitative measure is complemented by the use of the eigenvalue entropy measure, to quantify how the information in the market changes in time. Using this innovative approach, we analyzed data from the New York Stock Exchange (NYSE), and the Tel Aviv Stock Exchange (TASE), for daily trading data for the time period of 2000–2009. This paper covers these new concepts for the study of financial markets in terms of structure and information as reflected by the changes in correlations over time.

Keywords: Correlation; Stock Market Holography; eigenvalue entropy; sliding window (search for similar items in EconPapers)
JEL-codes: C60 C63 C65 (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://auco.cuni.cz/mag/article/download/id/97/type/attachment (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:aucocz:au2010_330

Ordering information: This journal article can be ordered from
http://auco.cuni.cz/

Access Statistics for this article

More articles in Czech Economic Review from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Lenka Stastna ().