| CROSS-DISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY |
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Principle Fluctuation Modes of the Global Stock Market |
| YAN Yan1,2, LIU Mao-Xin3, ZHU Xiao-Wu4**, CHEN Xiao-Song3 |
1School of Management in Graduate University, Chinese Academy of Sciences, Beijing 100080
2Postdoctor Working Station, State Information Center, Beijing 100045
3Institute of Theoretical Physics, Chinese Academy of Sciences, Beijing 100190
4Business School, China University of Political Science and Law, Beijing 100088 |
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| Cite this article: |
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ZHU Xiao-Wu, YAN Yan, LIU Mao-Xin et al 2012 Chin. Phys. Lett. 29 028901 |
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Abstract The purpose of this work is to study the principle fluctuation modes of the global stock market, which is regarded as a complex system. It is proposed that the systematic risk can be reflected by the trace calculated from the cross-correlation matrix, and the integrity can be classified into clusters according to the plus-minus signs of the elements of the eigenvectors corresponding to several top largest eigenvalues whose total value accounts for more than 60 percent of the trace. The principle fluctuation modes of 30 stock markets are in the same direction in each year of 2005–2010. According to the classification criteria proposed here, the stock markets of the Americas, Europe and Asia & Oceania are automatically classified into different clusters, while Brazil, Russia and China are separated.
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| Keywords:
89.65.Gh
02.10.Yn
21.60.Gx
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Received: 08 July 2011
Published: 11 March 2012
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| PACS: |
89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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02.10.Yn
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(Matrix theory)
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21.60.Gx
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(Cluster models)
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