Dynamics of stock market correlations

Dror Y. Kenett; Yoash Shapira; Asaf Madi; Sharron Bransburg-Zabary; Gitit Gur-Gershgoren; Eshel Ben-Jacob

Dynamics of stock market correlations

Dror Y. Kenett, Yoash Shapira, Asaf Madi, Sharron Bransburg-Zabary, Gitit Gur-Gershgoren, Eshel Ben-Jacob^*

^*Corresponding author for this work

Pathology

Research output: Contribution to journal › Article › peer-review

32 Scopus citations

Abstract

We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics of the market, through the study of correlations. This is based on the Stock Market Holography (SMH) method recently introduced. This qualitative measure is complemented by the use of the eigenvalue entropy measure, to quantify how the information in the market changes in time. Using this innovative approach, we analyzed data from the New York Stock Exchange (NYSE), and the Tel Aviv Stock Exchange (TASE), for daily trading data for the time period of 2000-2009. This paper covers these new concepts for the study of financial markets in terms of structure and information as reflected by the changes in correlations over time.

Original language	English
Pages (from-to)	330-340
Number of pages	11
Journal	AUCO Czech Economic Review
Volume	4
Issue number	3
State	Published - 2010

Keywords

Correlation
Eigenvalue entropy
Sliding window
Stock Market Holography

Cite this

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AU - Ben-Jacob, Eshel

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Dynamics of stock market correlations

Abstract

Keywords

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