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arXiv · cond-mat/9911168

Dynamics of competition between collectivity and noise in the stock market

S. Drozdz·F. Gruemmer·F. Ruf·J. Speth
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Abstract

Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the draw downs are always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix which, at the same time, reduces the variance of the noise states. The opposite applies to draw ups. In this case the dynamics spreads more uniformly over the eigenstates which results in an increase of the total information entropy.

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S. Drozdz, F. Gruemmer, F. Ruf, J. Speth. 1999-11-11. Dynamics of competition between collectivity and noise in the stock market. https://doi.org/10.1016/s0378-4371(00)00383-6

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