The q-dependent detrended cross-correlation analysis of stock market

被引:23
|
作者
Zhao, Longfeng [1 ,2 ,3 ,4 ]
Li, Wei [1 ,2 ]
Fenu, Andrea [3 ,4 ,5 ]
Podobnik, Boris [3 ,4 ,6 ,7 ,8 ,10 ]
Wang, Yougui [3 ,4 ,9 ]
Stanley, H. Eugene [3 ,4 ]
机构
[1] Hua Zhong Cent China Normal Univ, Complex Sci Ctr, Wuhan 430079, Hubei, Peoples R China
[2] Hua Zhong Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China
[3] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA
[4] Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA
[5] Univ Cagliari, Dept Econ & Management, Cagliari, Italy
[6] Zagreb Sch Econ & Management, HR-10000 Zagreb, Croatia
[7] Luxembourg Sch Business, Grand Duchy Of Luxembour, Luxembourg
[8] Univ Rijeka, Fac Civil Engn, HR-51000 Rijeka, Croatia
[9] Beijing Normal Univ, Sch Syst Sci, Beijing 100875, Peoples R China
[10] Fac Informat Studies Novo Mesto, Novo Mesto 8000, Slovenia
基金
中国国家自然科学基金;
关键词
quantitative finance; financial networks; FINANCIAL CORRELATION-MATRICES; CORRELATION-COEFFICIENT; PORTFOLIO OPTIMIZATION; COMPLEX-SYSTEMS; TIME-SERIES; ORGANIZATION; NETWORKS; NOISE;
D O I
10.1088/1742-5468/aa9db0
中图分类号
O3 [力学];
学科分类号
08 ; 0801 ;
摘要
Properties of the q-dependent cross-correlation matrices of the stock market have been analyzed by using random matrix theory and complex networks. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those among large fluctuations. The large and small fluctuations are dominated by different groups of stocks. We use complex network representation to study these q-dependent matrices and discover some new identities. By utilizing those q-dependent correlation-based networks, we are able to construct some portfolios of those more independent stocks which consistently perform better. The optimal multifractal order for portfolio optimization is around q = 2 under the mean-variance portfolio framework, and q is an element of [2,6] under the expected shortfall criterion. These results have deepened our understanding regarding the collective behavior of the complex financial system.
引用
收藏
页数:28
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