Asymmetric and symmetric meta-correlations in financial markets

作     者：李晓辉 沈翔瀛 黄吉平 

作者机构：Department of Physics and State Key Laboratory of Surface Physics Fudan University 

出 版 物：《Chinese Physics B》 (中国物理B（英文版）)

年 卷 期：2016年第25卷第10期

页      面：579-586页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 07[理学] 020202[经济学-区域经济学] 070104[理学-应用数学] 0805[工学-材料科学与工程（可授工学、理学学位）] 0704[理学-天文学] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China(Grant No.11222544) the Fok Ying Tung Education Foundation(Grant No.131008) the Program for New Century Excellent Talents in University,China(Grant No.NCET-12-0121) 

主　　题：financial market collective behavior complex system asymmetry and symmetry 

摘      要：In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.