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

Download
393 downloads
  • @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.