Structure of local interactions in complex financial dynamics

X. F. Jiang; T. T. Chen; B. Zheng

doi:10.1038/srep05321

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arXiv · 1406.0070

Structure of local interactions in complex financial dynamics

X. F. Jiang·T. T. Chen·B. Zheng

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Abstract

With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the business sectors (subsectors) are mainly contained in the sector mode. In the sector mode, the average correlation inside the sectors is positive, while that between the sectors is negative. Further, we explore the time evolution of the interaction structure of the business sectors, and observe that the local interaction structure changes dramatically during a financial bubble or crisis.

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q-fin.GN cond-mat.stat-mech physics.data-an physics.soc-ph

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X. F. Jiang, T. T. Chen, B. Zheng. 2014-05-31. Structure of local interactions in complex financial dynamics. https://doi.org/10.1038/srep05321

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