Cross-correlation dynamics in financial time series
Thomas Conlon (),
H.J. Ruskin and
Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 5, 705-714
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlation matrix, over these time windows, oppose those of the largest eigenvalue. This behaviour is shown to be independent of the size of the time window and the number of stocks examined.
Keywords: Correlation matrix; Eigenspectrum analysis; Econophysics (search for similar items in EconPapers)
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Working Paper: Cross-Correlation Dynamics in Financial Time Series (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:5:p:705-714
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