Stabilities of Stock States in Chinese Stock Markets

Gyuchang Lim; Kyungho Seo; Soo Kim; Kyungsik Kim

Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2

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

Gyuchang Lim¹, Kyungho Seo¹, Soo Kim¹^,*, Kyungsik Kim²^,*

1: Korea Advanced Institute of Science, and Technology
2: Department of Physics Pukyong National University

*Contact email: sooyongkim@kaist.ac.kr, kskim@pknu.ac.kr

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.

Keywords: random matrix theory correlation matrix multi-factor model

Published: 2012-05-11

: http://dx.doi.org/10.1007/978-3-642-02469-6_117