Correlations and dependencies in the global finantial village
Impacto
Scholar |
Otros documentos de la autoría: Kenett, Dror Y.; Raddant, Matthias; Zatlavi, Lior; Lux, Thomas; Ben-Jacob, Eshel
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONEste recurso está restringido
http://dx.doi.org/10.1142/S201019451200774X |
Metadatos
Título
Correlations and dependencies in the global finantial villageFecha de publicación
2012Editor
World Scientific PublishingISSN
2010-1945Cita bibliográfica
DROR Y. KENETT et al, Int. J. Mod. Phys. Conf. Ser. 16, 13 (2012)Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.worldscientific.com/doi/abs/10.1142/S201019451200774XPalabras clave / Materias
Resumen
The high degree of coupling between global financial markets has made the financial village prone to systemic collapses. Here we present a new methodology to assess and quantify inter-market relations. The approach ... [+]
The high degree of coupling between global financial markets has made the financial village prone to systemic collapses. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on meta-correlations (correlations between the intra-market correlations), and a Dependency Network analysis approach. We investigated the relations between six important world markets — U.S., U.K., Germany, Japan, China and India from January 2000 until December 2010. Our findings show that while the developed Western markets (U.S., U.K., Germany), are highly correlated, the inter-dependencies between these markets and the Eastern markets (India and China) are very volatile and with noticeable maxima at times of global world events. Finally, using the Dependency network approach, we quantify the flow of information between the different markets, and how markets affect each other. We observe that German and U.K. stocks show a large amount of coupling, while other markets are more segmented. These and additional reported findings illustrate that this methodological framework provides a way to quantify interdependencies in the global market and their evolvement, to evaluate the world financial network, and quantify changes in inter-market relations. Such changes can be used as precursors to the agitation of the global financial village. [-]
Publicado en
International Journal of Modern Physics: Conference Series, 2012, vol. 16Derechos de acceso
Copyright© 2013 World Scientific Publishing Co. All rights reserved
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/restrictedAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/restrictedAccess
Aparece en las colecciones
- ECO_Articles [692]