Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example

Yuriy Stepanov, Philip Rinn, Thomas Guhr, Joachim Peinke and Rudi Sch\"afer

Papers from arXiv.org

Abstract: We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. This allows us to establish a connection between its time evolution and known historical events on the market. We discuss the dynamics, the stability and the hierarchy of the recently proposed quasi-stationary market states.

Date: 2015-03
New Economics Papers: this item is included in nep-mfd
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Citations: View citations in EconPapers (7)

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