Borghesi Christian, Marsili Matteo, Miccichè Salvatore
Service de Physique de lEtat Condensé (CNRS URA 2464), CEA Saclay, 91191 Gif sur Yvette Cedex, France.
Phys Rev E Stat Nonlin Soft Matter Phys. 2007 Aug;76(2 Pt 2):026104. doi: 10.1103/PhysRevE.76.026104. Epub 2007 Aug 10.
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. In addition to the usual correlations, we also analyze those obtained by subtracting the dynamics of the "center of mass" (i.e., the market mode). We find that when the center of mass is not removed the structure emerges, as the time horizon increases, from splitting a single large cluster into smaller ones. By contrast, when the market mode is removed the structure of correlations observed at the daily scale is already well defined at very high frequency (5 min in the New York Stock Exchange). Moreover, this structure accounts for 80% of the classification of stocks in economic sectors. Similar results, though less sharp, are found for the other markets. We also find that the structure of correlations in the overnight returns is markedly different from that of intraday activity.
我们研究了随着计算资产回报的时间范围从分钟尺度增加到日尺度，资产回报相关矩阵中一种结构的出现情况。我们使用不同方法分析了来自不同股票市场（纽约、巴黎、伦敦、米兰）的数据。除了通常的相关性，我们还分析了通过减去“质心”（即市场模式）动态得到的相关性。我们发现，当不消除质心时，随着时间范围的增加，该结构会从一个大的单一聚类分裂成较小的聚类而出现。相比之下，当去除市场模式时，在日尺度上观察到的相关结构在非常高的频率（纽约证券交易所为5分钟）下就已经定义良好。此外，这种结构占经济部门股票分类的80%。在其他市场也发现了类似的结果，尽管不那么明显。我们还发现，隔夜回报中的相关结构与盘中活动的相关结构明显不同。
