Dissecting financial markets: sectors and states

DOI10.1088/1469-7688/2/4/305zbMath1405.91755arXivcond-mat/0207156OpenAlexW2152550402MaRDI QIDQ4646791

Matteo Marsili

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0207156

zbMATH Keywords

financial marketsmarket stateseconomic sectorsdata clustering technique

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (14)

Scale invariance and criticality in financial markets ⋮ Ordinal synchronization and typical states in high-frequency digital markets ⋮ Inter-pattern speculation: beyond minority, majority and \$-games ⋮ Detecting intraday financial market states using temporal clustering ⋮ A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ PCA meets RG ⋮ New collectivity measures for financial covariances and correlations ⋮ Identifying dominant industrial sectors in market states of the S&P 500 financial data ⋮ Criticality of mostly informative samples: a Bayesian model selection approach ⋮ Statistical criticality arises in most informative representations ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Dynamic instability in a phenomenological model of correlated assets ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion ⋮ Agglomerative likelihood clustering

Cites Work

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• Algorithms of maximum likelihood data clustering with applications
• From Minority Games to real markets
• Statistical mechanics of asset markets with private information
• Introduction to Econophysics
• Stylized facts of financial markets and market crashes in Minority Games

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