Anti-correlation and subsector structure in financial systems

X. F. Jiang and B. Zheng

Papers from arXiv.org

Abstract: With the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation matrix, we detect the subsector structure of the financial systems. The positive and negative subsectors are anti-correlated each other in the corresponding eigenmode. The subsector structure is strong in the Chinese stock market, while somewhat weaker in the American stock market and global market indices. Characteristics of the subsector structures in different markets are revealed.

Date: 2012-01
New Economics Papers: this item is included in nep-ets, nep-mac and nep-tra
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Citations: View citations in EconPapers (26)

Published in EPL, 97 (2012) 48006

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