Cross-correlation matrix analysis of Chinese and American bank stocks in subprime crisis*
Zhu Shi-Zhaoa), Li Xin-Lia), Nie Senb)†, Zhang Wen-Qinga), Yu Gao-Fengc), Han Xiao-Pud), Wang Bing-Honga),b)‡
       
Comparison between the absolute value ∣ u i ( λ )∣ algorithm by Ref. [ 13 ] (a) and the positive and negative u i ( λ ) algorithm in this paper (b). Components of eigenvectors corresponding to the largest four eigenvalues of cross-correlation matrix C 13×13 for stocks of Chinese banks from 2008–2010 year. Here, i is the stock number.