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2015 | 127 | 3A | A-103-A-107
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Cross-Correlations of Financial Crises Analysis by Power Law Classification Scheme

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Cross-correlations among the chosen six main world financial markets are analysed by power law classification scheme (PLCS). The markets are represented by indices: DAX (Frankfurt), FTSE (London), S&P 500 (New York), HSI (Honkong), Nikkei 225 (Tokyo), STI (Singapore) in the interval from 24.09.1991 till 31.01.2014. The time series are transformed into daily returns and normalised daily range of indices. The evolution of correlation strength is analysed using moving time window. It is shown that the correlation strength properly characterises crisis and prosperity periods. Moreover, the value of the correlation strength can be related to the crisis severity. The results are compared with standard ultrametric distance based on Pearson coefficient.
  • Institute of Theoretical Physics, University of Wrocław, pl. M. Borna 9, 50-204 Wrocław Department of Physics and Biophysics, Wrocław University of Environmental and Life Sciences, Norwida 25, 50-375 Wrocław
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