Exploring Market State and Stock Interactions on the Minute Timescale.

ABSTRACT: A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and corr

SUBMITTER: Tan L 

PROVIDER: S-EPMC4762888 | biostudies-literature | 2016

REPOSITORIES: biostudies-literature