Research Article
Stabilities of Stock States in Chinese Stock Markets
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@INPROCEEDINGS{10.1007/978-3-642-02469-6_117, author={Gyuchang Lim and Kyungho Seo and Soo Kim and Kyungsik Kim}, title={Stabilities of Stock States in Chinese Stock Markets}, proceedings={Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2}, proceedings_a={COMPLEX PART 2}, year={2012}, month={5}, keywords={random matrix theory correlation matrix multi-factor model}, doi={10.1007/978-3-642-02469-6_117} }
- Gyuchang Lim
Kyungho Seo
Soo Kim
Kyungsik Kim
Year: 2012
Stabilities of Stock States in Chinese Stock Markets
COMPLEX PART 2
Springer
DOI: 10.1007/978-3-642-02469-6_117
Abstract
We study the evolution of the correlation-based clusters of stocks, which usually accord with business groups. By segmenting the whole time series into several overlapping segments, we trace the dynamical evolution of each business sectors in terms of the multi-factor model and especially treat the stock prices of Shanghai composites that are not incorporated into developed markets of the financial time stock exchange index.
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