COVID anomaly in the correlation analysis of S&P 500 market states
arXiv:2308.14830 · doi:10.1371/journal.pone.0301238
Abstract
Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we shall discuss its possible implications as an isolated state or as a beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.
arXiv comment12 pages, 6 figures, supplemental materials (6 figures, 3 videos)
References in corpus (13)
- Random Matrix Theories in Quantum Physics: Common Concepts
- Noise Dressing of Financial Correlation Matrices
- A New Method to Estimate the Noise in Financial Correlation Matrices
- Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion
- Identifying long-term precursors of financial market crashes using correlation patterns
- Economic state classification and portfolio optimisation with application to stagflationary environments
- Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example
- Immediate Causality Network of Stock Markets
- A New Attempt to Identify Long-term Precursors for Endogenous Financial Crises in the Market Correlation Structures
- Emerging spectra of singular correlation matrices under small power-map deformations
- A Structural Model for Fluctuations in Financial Markets
- New Collectivity Measures for Financial Covariances and Correlations
- COVID anomaly in the correlation analysis of S&P 500 market states