Asymmetric and symmetric meta-correlations in financial markets

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

中国物理B ›› 2016, Vol. 25 ›› Issue (10): 108903-108903.doi: 10.1088/1674-1056/25/10/108903

• INTERDISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY • 上一篇下一篇

Asymmetric and symmetric meta-correlations in financial markets

Xiaohui Li(李晓辉), Xiangying Shen(沈翔瀛), Jiping Huang(黄吉平)

Department of Physics and State Key Laboratory of Surface Physics, Fudan University, Shanghai 200433, China

收稿日期:2016-03-14 修回日期:2016-05-24 出版日期:2016-10-05 发布日期:2016-10-05
通讯作者: Jiping Huang E-mail:jphuang@fudan.edu.cn
基金资助:
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).

Asymmetric and symmetric meta-correlations in financial markets

Xiaohui Li(李晓辉), Xiangying Shen(沈翔瀛), Jiping Huang(黄吉平)

Department of Physics and State Key Laboratory of Surface Physics, Fudan University, Shanghai 200433, China

Received:2016-03-14 Revised:2016-05-24 Online:2016-10-05 Published:2016-10-05
Contact: Jiping Huang E-mail:jphuang@fudan.edu.cn
Supported by:
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).

摘要/Abstract

摘要：

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.

关键词: financial market, collective behavior, complex system, asymmetry and symmetry

Abstract:

Key words: financial market, collective behavior, complex system, asymmetry and symmetry

中图分类号: (Economics; econophysics, financial markets, business and management)

89.65.Gh

89.75.Da (Systems obeying scaling laws) 89.75.-k (Complex systems)

李晓辉, 沈翔瀛, 黄吉平. Asymmetric and symmetric meta-correlations in financial markets[J]. 中国物理B, 2016, 25(10): 108903-108903.

Xiaohui Li(李晓辉), Xiangying Shen(沈翔瀛), Jiping Huang(黄吉平). Asymmetric and symmetric meta-correlations in financial markets[J]. Chin. Phys. B, 2016, 25(10): 108903-108903.

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Asymmetric and symmetric meta-correlations in financial markets

Asymmetric and symmetric meta-correlations in financial markets

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