COVID anomaly in the correlation analysis of S&P 500 market states

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COVID anomaly in the correlation analysis of S&P 500 market states

Plos One. 2024.

Martínez-Ramos M. M., Vyas M., Majari P., Seligman T.

Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen, which implies an isolated state or the beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.

Language: English

DOI

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Coarse graining correlation matrices according to macrostructures: financial markets as a paradigm

Martínez-Ramos M. M., Majari P., Cruz-Hernández A. et al., Physica Scripta 2024

We analyze correlation structures in financial markets by coarse graining the Pearson correlation matrices according to market sectors to obtain Guhr matrices using Guhr’s correlation method according to P Rinn et al (2015, Europhysics Letters 110, 68 003). We compare the results for the evolution of market states and the corresponding transition matrices with those ...

Added: October 6, 2025

Волатильность фондового рынка и волатильность криптовалют

В. А. Маневич, А. А. Пересецкий, П. В. Погорелова, Прикладная эконометрика 2022 Т. 65 № 1 С. 65–76

In the last ten years, cryptocurrencies have developed rapidly, of which bitcoin has the largest capital‐ ization. With the development of the cryptocurrency market, more and more investors include bitcoin in their asset portfolio. In this regard, the question of the relationship between the volatility of the cryp‐ tocurrency market and the stock market is ...

Added: June 8, 2022

Modeling Financial Market Using Percolation Theory

Byachkova A., , in: Financial Econometrics and Empirical Market Microstructure.: NY: Springer, 2015. P. 47–53.

Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial markets. In this paper we use the approach of econophysics to explain various mechanisms of price formation in the stock market. We study a model, which was proposed by Jean-Philippe Bouchaud ...

Added: September 29, 2015

Does Banking Regulation Cause Counterproductive Economic Dynamics?

Penikas H. I., Selmier II W. T., / NRU Higher School of Economics. Series WP BRP "Economics/EC". 2013. No. 15.

This essay aims at highlighting the linkage between current international banking regulation (namely, that produced by the Basel Committee on Banking Supervision) and economic activity, which is proxied by the S&P500 stock market index. It is revealed that the amount of regulatory documents published per year affects stock market performance, but only for the next ...

Added: August 17, 2013

Возможности прогнозирования динамики фондового индекса S&P 500 с помощью нейросетевых и регрессионных моделей

Zavertiaeva M. A., Parshakov P., Программные продукты и системы 2012 № 4 (100) С. 90–96

The article presents a comparative analysis of neural network modeling and regression analysis for forecasting the S & P 500 index. Initially, the forecast of the absolute value of the index is provided, then we justify the use of stationery data, that is, the return of S & P 500. The comparison of two methods ...

Added: March 12, 2013