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- W3124456744 abstract "We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, cross-correlation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile." @default.
- W3124456744 created "2021-02-01" @default.
- W3124456744 creator A5071144499 @default.
- W3124456744 date "2017-04-01" @default.
- W3124456744 modified "2023-09-27" @default.
- W3124456744 title "Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix" @default.
- W3124456744 hasPublicationYear "2017" @default.
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