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
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
摘要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.
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.
YAN Yan1,2, LIU Mao-Xin3, ZHU Xiao-Wu4**, CHEN Xiao-Song3. Principle Fluctuation Modes of the Global Stock Market[J]. 中国物理快报, 2012, 29(2): 28901-028901.
YAN Yan, LIU Mao-Xin, ZHU Xiao-Wu, CHEN Xiao-Song. Principle Fluctuation Modes of the Global Stock Market. Chin. Phys. Lett., 2012, 29(2): 28901-028901.
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2012, Vol. 29 
