Corpus ID: 204509149

Phase separation and universal scaling in markets: Fear and fragility

@article{Chakraborti2019PhaseSA,
  title={Phase separation and universal scaling in markets: Fear and fragility},
  author={A. Chakraborti and Hrishidev and K. Sharma and Hirdesh K. Pharasi},
  journal={arXiv: Statistical Finance},
  year={2019}
}
One of the spectacular examples of a complex system is the financial market, which displays rich correlation structures among price returns of different assets. The eigenvalue decomposition of a correlation matrix into partial correlations - market, group and random modes, enables identification of dominant stocks or "influential leaders" and sectors or "communities". The correlation-based network of leaders and communities changes with time, especially during market events like crashes… Expand
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