Sector dominance ratio analysis of financial markets

Lisa Uechi*, Tatsuya Akutsu, H. Eugene Stanley, Alan J. Marcus, Dror Y. Kenett

*この研究の対応する著者

研究成果: Article査読

23 被引用数 (Scopus)

抄録

In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a yearly and monthly basis for four stock markets, those of the US, UK, Germany and Japan, during the period from January 2000 to December 2010. We investigate the information contained in raw and partial correlations using the sector dominance ratio and its variation over time. The evolution of economic sectoral activities can be discerned through the largest eigenvectors of both raw correlation and partial correlation matrices. We find a characteristic change of the largest eigenvalue from raw and partial correlations and the SDR that coincides with sharp breaks in asset valuations. Finally, we propose the SDR as an indicator for changes in VIX indexes.

本文言語English
ページ(範囲)488-509
ページ数22
ジャーナルPhysica A: Statistical Mechanics and its Applications
421
DOI
出版ステータスPublished - 2015 3月 1
外部発表はい

ASJC Scopus subject areas

  • 凝縮系物理学
  • 統計学および確率

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