量化和解读金融市场中的集体行为。
Quantifying and interpreting collective behavior in financial markets.
作者信息
Gopikrishnan P, Rosenow B, Plerou V, Stanley H E
机构信息
Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215, USA.
出版信息
Phys Rev E Stat Nonlin Soft Matter Phys. 2001 Sep;64(3 Pt 2):035106. doi: 10.1103/PhysRevE.64.035106. Epub 2001 Aug 30.
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the two-year period 1994-95 and (ii) one-day price fluctuations of 422 US stocks for the 35-year period 1962-96. We find that the eigenvectors of C corresponding to the largest eigenvalues allow us to partition the set of all stocks into distinct subsets. These subsets are similar to business sectors, and are stable for extended periods of time. We find that price fluctuations of these subsets are characterized by power-law decaying time correlations, reminiscent of strongly interacting systems.
从事类似商业活动的公司是相互关联的。我们分析了两个不同的互相关矩阵C，它们分别由以下数据构建而成：（i）1994 - 1995年两年期间1000只美国股票的30分钟价格波动数据；（ii）1962 - 1996年35年期间422只美国股票的日价格波动数据。我们发现，与最大特征值对应的C的特征向量能让我们将所有股票的集合划分为不同的子集。这些子集类似于商业部门，并且在很长一段时间内都是稳定的。我们发现，这些子集的价格波动具有幂律衰减时间相关性的特征，这让人联想到强相互作用系统。
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