EconPapers    
Economics at your fingertips  
 

Coherence and incoherence collective behavior in financial market

Shangmei Zhao, Qiuchao Xie, Qing Lu, Xin Jiang and Wei Chen

Papers from arXiv.org

Abstract: Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and Incoherence (FCI) coexistence collective behavior emerges as the system evolves into the stable state, in which the stocks split into two groups: one is represented by coherent, phase-locked oscillators, the other is composed of incoherent, drifting oscillators. It is demonstrated that the size of the coherent stock groups fluctuates during the economic periods according to real-world financial instabilities or shocks. Further, we introduce the coherent characteristic matrix to characterize the involvement dynamics of stocks in the coherent groups. Clustering results on the matrix provides a novel manifestation of the correlations among stocks in the economic periods. Our analysis for components of the groups is consistent with the Global Industry Classification Standard (GICS) classification and can also figure out features for newly developed industries. These results can provide potentially implications on characterizing inner dynamical structure of financial markets and making optimal investment tragedies.

Date: 2016-05
New Economics Papers: this item is included in nep-fmk and nep-pr~
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in EPL (Europhysics Letters), Volume 112, Number 2,2015

Downloads: (external link)
http://arxiv.org/pdf/1605.02283 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:1605.02283

Access Statistics for this paper

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

 
Page updated 2022-07-23
Handle: RePEc:arx:papers:1605.02283