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题名: Evolutions of fluctuation modes and inner structures of global stock markets
作者: Yan, Y ;  Wang, L ;  Liu, MX ;  Chen, XS
刊名: INTERNATIONAL JOURNAL OF MODERN PHYSICS B
出版日期: 2016
卷号: 30, 期号:32, 页码:1650237
关键词: Global stock market ;  covariance matrix ;  principle fluctuation mode analysis ;  complex network
学科分类: Physics
DOI: http://dx.doi.org/10.1142/S0217979216502374
通讯作者: Liu, MX (reprint author), Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China.
文章类型: Article
英文摘要: The paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries' locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets.
类目[WOS]: Physics, Applied ;  Physics, Condensed Matter ;  Physics, Mathematical
关键词[WOS]: CROSS-CORRELATION ;  CORRELATION-MATRICES ;  FINANCIAL NETWORKS ;  INFORMATION ;  RETURNS ;  INDEXES ;  NOISE ;  TREES ;  TIMES ;  LAG
收录类别: SCI
项目资助者: National Science Foundation of China [71103179] ;  Youth Innovation Promotion Association of CAS [2015359] ;  Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS
语种: 英语
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内容类型: 期刊论文
URI标识: http://ir.itp.ac.cn/handle/311006/21453
Appears in Collections:理论物理所2016年知识产出_期刊论文

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Recommended Citation:
Yan, Y,Wang, L,Liu, MX,et al. Evolutions of fluctuation modes and inner structures of global stock markets[J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS B,2016,30(32):1650237.
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