New collectivity measures for financial covariances and correlations

DOI10.1016/J.PHYSA.2022.127704MaRDI QIDQ2170574zbMATH OpenOpenAlexFDO

Authors Anton J. Heckens, Thomas Guhr

Publication date 6 September 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.00297

zbMATH Keywords

collective motioncomplex systemseconophysicsfinancial marketsnon-stationaritysystemic risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

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Cited in

(5)

• A new measure between sets of probability distributions with applications to erratic financial behavior
• Identifying dominant industrial sectors in market states of the S&P 500 financial data
• Transitions between quasi-stationary states in traffic systems: cologne orbital motorways as an example
• Multivariate distributions in non-stationary complex systems. I: A random matrix model and formulae for data analysis
• Multivariate distributions in non-stationary complex systems. II: Empirical results for correlated stock markets

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