PL EN


Preferences help
enabled [disable] Abstract
Number of results
2015 | 127 | 3A | A-103-A-107
Article title

Cross-Correlations of Financial Crises Analysis by Power Law Classification Scheme

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
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.
Keywords
EN
Contributors
  • 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
References
  • [1] M. Dash, Tulipomania: The Story of the World's Most Coveted Flower & the Extraordinary Passions It Aroused, Broadway Books, New York 2001
  • [2] J. Miśkiewicz, Physica A 392, 2150 (2013), doi: 10.1016/j.physa.2012.12.039
  • [3] J. Miśkiewicz, Acta Phys. Pol. A 123, 589 (2013), doi: 10.12693/APhysPolA.123.589
  • [4] R.N. Mantegna, H.E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge University Press, 1999
  • [5] R.N. Mantegna, Eur. Phys. J. B 11, 193 (1999), doi: 10.1007/s100510050929
  • [6] G. Bonanno, F. Lillo, R.N. Mantegna, Physica A 299, 16 (2001), doi: 10.1016/S0378-4371(01)00279-5
  • [7] G. Bonanno, N. Vandewalle, R.N. Mantegna, Phys. Rev. E 62, R7615 (2000), doi: 10.1103/PhysRevE.62.R7615
  • [8] T. Di Matteo, T. Aste, R.N. Mantegna, Physica A 339, 181 (2004), doi: 10.1016/j.physa.2004.03.041
  • [9] J. Miśkiewicz, M. Ausloos, Physica A 387, 6584 (2008), doi: 10.1016/j.physa.2008.08.004
  • [10] T. Mizuno, H. Takayasu, M. Takayasu, Physica A 364, 336 (2006), doi: 10.1016/j.physa.2005.08.079
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv127n3a18kz
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.