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Yan, Y; Liu, MX; Zhu, XW; Chen, XS; Zhu, XW (reprint author), China Univ Polit Sci & Law, Sch Business, Beijing 100088, Peoples R China.
Principle Fluctuation Modes of the Global Stock Market
Source PublicationCHINESE PHYSICS LETTERS
Language英语
KeywordMatrices
AbstractThe 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.
2012
ISSN0256-307X
Volume29Issue:2Pages:28901
Subject AreaPhysics
Indexed BySCI
Funding OrganizationNational 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)] ; 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)] ; 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)] ; 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)]
Citation statistics
Cited Times:6[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.itp.ac.cn/handle/311006/15172
Collection理论物理所科研产出_SCI论文
Corresponding AuthorZhu, XW (reprint author), China Univ Polit Sci & Law, Sch Business, Beijing 100088, Peoples R China.
Recommended Citation
GB/T 7714
Yan, Y,Liu, MX,Zhu, XW,et al. Principle Fluctuation Modes of the Global Stock Market[J]. CHINESE PHYSICS LETTERS,2012,29(2):28901.
APA Yan, Y,Liu, MX,Zhu, XW,Chen, XS,&Zhu, XW .(2012).Principle Fluctuation Modes of the Global Stock Market.CHINESE PHYSICS LETTERS,29(2),28901.
MLA Yan, Y,et al."Principle Fluctuation Modes of the Global Stock Market".CHINESE PHYSICS LETTERS 29.2(2012):28901.
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