Asymmetric and symmetric meta-correlations in financial markets

doi:10.1088/1674-1056/25/10/108903

Abstract

In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition, unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.

Keywords: financial market collective behavior complex system asymmetry and symmetry

Received: 14 March 2016
Revised: 24 May 2016
Accepted manuscript online:

PACS:	89.65.Gh	(Economics; econophysics, financial markets, business and management)
	89.75.Da	(Systems obeying scaling laws)
	89.75.-k	(Complex systems)

Fund:

Project supported by the National Natural Science Foundation of China (Grant No. 11222544), the Fok Ying Tung Education Foundation (Grant No. 131008), and the Program for New Century Excellent Talents in University, China (Grant No. NCET-12-0121).

Corresponding Authors: Jiping Huang
E-mail: jphuang@fudan.edu.cn

Cite this article:

Xiaohui Li(李晓辉), Xiangying Shen(沈翔瀛), Jiping Huang(黄吉平) Asymmetric and symmetric meta-correlations in financial markets 2016 Chin. Phys. B 25 108903

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