The q-dependent detrended cross-correlation analysis of stock market
arXiv:1705.01406 · doi:10.1088/1742-5468/aa9db0
Abstract
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those among large fluctuations. The large and small fluctuations are dominated by different groups of stocks. We use complex network representation to study these q-dependent matrices and discover some new identities. By utilizing those q-dependent correlation-based networks, we are able to construct some portfolio by those most independent stocks which consistently perform the best. The optimal multifractal order for portfolio optimization is approximately . These results have deepened our understanding about the collective behaviors of the complex financial system.
25 pages, 16 figures
References in corpus (7)
- Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series
- A tool for filtering information in complex systems
- Multifractal detrended cross-correlation analysis for two nonstationary signals
- Cleaning large correlation matrices: tools from random matrix theory
- Multifractal methodology
- Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
- Multifractal cross-correlation effects in two-variable time series of complex network vertex observables
Cited by in corpus (11)
- Multiscale characteristics of the emerging global cryptocurrency market
- Complexity in economic and social systems: cryptocurrency market at around COVID-19
- Stock market as temporal network
- Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017
- Signatures of crypto-currency market decoupling from the Forex
- Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
- The impact of margin trading on share price evolution: A cascading failure model investigation
- Approaching multifractal complexity in decentralized cryptocurrency trading
- Multifractality and its sources in the digital currency market
- Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
- Trading characteristics of member firms on the Korea Exchange