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题名: Principle Fluctuation Modes of the Global Stock Market
作者: Yan, Y ;  Liu, MX ;  Zhu, XW ;  Chen, XS
刊名: CHINESE PHYSICS LETTERS
出版日期: 2012
卷号: 29, 期号:2, 页码:28901
关键词: MATRICES
学科分类: Physics
通讯作者: Zhu, XW (reprint author), China Univ Polit Sci & Law, Sch Business, Beijing 100088, Peoples R China.
部门归属: [Zhu Xiao-Wu] China Univ Polit Sci & Law, Sch Business, Beijing 100088, Peoples R China; [Yan Yan] Grad Univ, Chinese Acad Sci, Sch Management, Beijing 100080, Peoples R China; [Yan Yan] State Informat Ctr, Postdoctor Working Stn, Beijing 100045, Peoples R China; [Liu Mao-Xin; Chen Xiao-Song] Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China
英文摘要: The purpose of this work is to study the principle fluctuation modes of the global stock market, which is regarded as a complex system. It is proposed that the systematic risk can be reflected by the trace calculated from the cross-correlation matrix, and the integrity can be classified into clusters according to the plus-minus signs of the elements of the eigenvectors corresponding to several top largest eigenvalues whose total value accounts for more than 60 percent of the trace. The principle fluctuation modes of 30 stock markets are in the same direction in each year of 2005-2010. According to the classification criteria proposed here, the stock markets of the Americas, Europe and Asia & Oceania are automatically classified into different clusters, while Brazil, Russia and China are separated.
资助者: National Natural Science Foundation of China [71103179, 71102129, 10835005]; Program for Young Innovative Research Team in China University of Political Science and Law; Ministry of Education of China [10YJC630425]; Generalized Virtual Economy Fund [GX2011-1019(Y)]
收录类别: SCI
原文出处: 查看原文
语种: 英语
WOS记录号: WOS:000300619100063
Citation statistics: 
内容类型: 期刊论文
URI标识: http://ir.itp.ac.cn/handle/311006/15172
Appears in Collections:理论物理所2012年知识产出_期刊论文

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Recommended Citation:
Yan, Y,Liu, MX,Zhu, XW,et al. Principle Fluctuation Modes of the Global Stock Market[J]. CHINESE PHYSICS LETTERS,2012,29(2):28901.
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