Quantifying the Behavior of Stock Correlations Under Market Stress
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 528785524 | ||
| 005 | 20181217030312.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 180924e201210 xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.3929/ethz-b-000058375 |2 doi |
| 024 | 7 | 0 | |a 10.1038/srep00752 |2 doi |
| 035 | |a (ETHRESEARCH)oai:www.research-collecti.ethz.ch:20.500.11850/58375 | ||
| 245 | 0 | 0 | |a Quantifying the Behavior of Stock Correlations Under Market Stress |h [Elektronische Daten] |c [Tobias Preis, Dror Y. Kenett, H. Eugene Stanley, Dirk Helbing, Eshel Ben-Jacob] |
| 246 | 0 | |a Sci Rep | |
| 506 | |a Open access |2 ethresearch | ||
| 520 | 3 | |a Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios. | |
| 540 | |a Creative Commons Attribution-NonCommercial-ShareAlike 3.0 Unported |u http://creativecommons.org/licenses/by-nc-sa/3.0 |2 ethresearch | ||
| 690 | 7 | |a Statistics |2 ethresearch | |
| 690 | 7 | |a Statistical physics, thermodynamics and nonlinear dynamics |2 ethresearch | |
| 690 | 7 | |a Physics |2 ethresearch | |
| 690 | 7 | |a Information theory and computation |2 ethresearch | |
| 700 | 1 | |a Preis |D Tobias |e joint author | |
| 700 | 1 | |a Kenett |D Dror Y. |e joint author | |
| 700 | 1 | |a Stanley |D H. Eugene |e joint author | |
| 700 | 1 | |a Helbing |D Dirk |e joint author | |
| 700 | 1 | |a Ben-Jacob |D Eshel |e joint author | |
| 773 | 0 | |t Scientific Reports |d London : Nature Publishing Group |g 2, p. 752 |x 2045-2322 | |
| 856 | 4 | 0 | |u http://hdl.handle.net/20.500.11850/58375 |q text/html |z WWW-Backlink auf das Repository (Open access) |
| 908 | |D 1 |a Journal Article |2 ethresearch | ||
| 950 | |B ETHRESEARCH |P 856 |E 40 |u http://hdl.handle.net/20.500.11850/58375 |q text/html |z WWW-Backlink auf das Repository (Open access) | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Preis |D Tobias |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Kenett |D Dror Y. |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Stanley |D H. Eugene |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Helbing |D Dirk |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Ben-Jacob |D Eshel |e joint author | ||
| 950 | |B ETHRESEARCH |P 773 |E 0- |t Scientific Reports |d London : Nature Publishing Group |g 2, p. 752 |x 2045-2322 | ||
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B ETHRESEARCH |F ETHRESEARCH |b ETHRESEARCH |j Journal Article |c Open access | ||