Phase Transition in the S&P Stock Market

Matthias Raddant and Friedrich Wagner

Papers from arXiv.org

Abstract: We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order parameter which can be interpreted within an agent-based model. From 1995 to 2005 the market is in an ordered state and after 2005 in a disordered state.

Date: 2013-06, Revised 2015-06
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Journal of Economic Interaction and Coordination, 11(2), 229-246, 2016

Downloads: (external link)
http://arxiv.org/pdf/1306.2508 Latest version (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:arx:papers:1306.2508

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().