Dynamics of competition between collectivity and noise in the stock market
S. Drozdz, F. Gruemmer, F. Ruf, J. Speth
Abstract
Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the draw downs are always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix which, at the same time, reduces the variance of the noise states. The opposite applies to draw ups. In this case the dynamics spreads more uniformly over the eigenstates which results in an increase of the total information entropy.
Create a lesson
Related papers
Long-time Dynamics of Many-body Open Quantum Systems using Quantum Generating Functions
Katha Ganguly, Dario Poletti, Bijay Kumar Agarwalla
Localization Delocalization Transition in Diffusion with Adaptive Resetting
Tommer D. Keidar, Shlomi Reuveni
Quenched activity induces nonuniversal scaling in nonreciprocal XY Models and surfaces
Sudip Mukherjee, Abhik Basu
Brownian yet non-Gaussian diffusion through equilibrium nonlinear friction
Jakob Mihatsch, Andreas M. Menzel
When dissipative steady states admit thermodynamic occupation laws
Tetsu Ichitsubo
Fluctuation--response relations from an emergent Z2 symmetry in the rotating stochastic Landau model
Dhruv Kush, Nicki Mullins, Mauricio Hippert et al.