相似性(几何)
金融危机
主成分分析
常量(计算机编程)
职位(财务)
索引(排版)
计量经济学
热力学
体积热力学
数学
统计
经济
物理
计算机科学
宏观经济学
万维网
图像(数学)
人工智能
程序设计语言
财务
作者
B. A. Younglove,Dwain E. Diller
出处
期刊:Cryogenics
[Elsevier]
日期:1962-12-01
卷期号:2 (6): 348-352
被引量:12
标识
DOI:10.1016/0011-2275(62)90076-0
摘要
We study the dynamic interactions and structural changes by a principal component analysis (PCA) to cross-correlation coefficients of global financial indices in the years 1998–2012. The variances explained by the first PC increase with time and show a drastic change during the crisis. A sharp change in PC coefficient implies a transition of market state, a situation which occurs frequently in the American and Asian indices. However, the European indices remain stable over time. Using the first two PC coefficients, we identify indices that are similar and more strongly correlated than the others. We observe that the European indices form a robust group over the observation period. The dynamics of the individual indices within the group increase in similarity with time, and the dynamics of indices are more similar during the crises. Furthermore, the group formation of indices changes position in two-dimensional spaces due to crises. Finally, after a financial crisis, the difference of PCs between the European and American indices narrows.
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