Evolvement of uniformity and volatility in the stressed global financial village
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Otros documentos de la autoría: Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; Ben-Jacob, Eshel
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Título
Evolvement of uniformity and volatility in the stressed global financial villageFecha de publicación
2012Editor
Public Library of ScienceISSN
1932-6203; 1932-6203Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.plosone.org/article/fetchObject.action?uri=info%3Adoi%2F10.1371%2Fjou ...Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
Background: In the current era of strong worldwide market couplings the global financial village became highly prone to
systemic collapses, events that can rapidly sweep throughout the entire village.
Methodology/ ... [+]
Background: In the current era of strong worldwide market couplings the global financial village became highly prone to
systemic collapses, events that can rapidly sweep throughout the entire village.
Methodology/Principal Findings: We present a new methodology to assess and quantify inter-market relations. The
approach is based on the correlations between the market index, the index volatility, the market Index Cohesive Force and
the meta-correlations (correlations between the intra-correlations.) We investigated the relations between six important
world markets—U.S., U.K., Germany, Japan, China and India—from January 2000 until December 2010. We found that while
the developed ‘‘western’’ markets (U.S., U.K., Germany) are highly correlated, the interdependencies between these markets
and the developing ‘‘eastern’’ markets (India and China) are volatile and with noticeable maxima at times of global world
events. The Japanese market switches ‘‘identity’’—it switches between periods of high meta-correlations with the ‘‘western’’
markets and periods when it behaves more similarly to the ‘‘eastern’’ markets.
Conclusions/Significance: The methodological framework presented here provides a way to quantify the evolvement of
interdependencies in the global market, evaluate a world financial network and quantify changes in the world inter market
relations. Such changes can be used as precursors to the agitation of the global financial village. Hence, the new approach
can help to develop a sensitive ‘‘financial seismograph’’ to detect early signs of global financial crises so they can be treated
before they develop into worldwide events [-]
Publicado en
PLoS ONE, February, Volume 7, Issue 2, e31144Derechos de acceso
info:eu-repo/semantics/openAccess
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unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.