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1、AUCOCzechEconomicReview4(2010)330–340ActaUniversitatisCarolinaeOeconomicaDynamicsofStockMarketCorrelationsDrorY.Kenett,YoashShapira,AsafMadi,SharronBransburg-Zabary,GititGur-Gershgoren?,EshelBen-Jacob?Received3March2010;Accepted5September2010AbstractWepresentanovel
2、approachtothestudythedynamicsofstockmarketcorrelations.Thisisachievedthroughaninnovativevisualizationtoolthatallowsaninvestigationofthestruc-tureanddynamicsofthemarket,throughthestudyofcorrelations.ThisisbasedontheStockMarketHolography(SMH)methodrecentlyintroduced.Thisqua
3、litativemeasureiscomple-mentedbytheuseoftheeigenvalueentropymeasure,toquantifyhowtheinformationinthemarketchangesintime.Usingthisinnovativeapproach,weanalyzeddatafromtheNewYorkStockExchange(NYSE),andtheTelAvivStockExchange(TASE),fordailytradingdataforthetimeperiodof2000–2
4、009.Thispapercoversthesenewconceptsforthestudyof?nancialmarketsintermsofstructureandinformationasre?ectedbythechangesincorrelationsovertime.KeywordsCorrelation,StockMarketHolography,eigenvalueentropy,slidingwindowJELclassi?cationC60,C63,C65??1.IntroductionTodate,thefac
5、tthat?nancialsystemsexhibitdistinctdynamicalandchaoticbeha-vioriswellunderstood.Muchworkhasbeendevotedtotheanalysisof?nancialdataand?nancialsystems,yetthedynamicsofsuchsystemsremainsapuzzlingmystery.Commonlyusedandwelldocumentedmethodsincludeautocorrelations(MantegnaandSt
6、anley2000),non-lineartimeseriesanalysis(Kodbaetal.2005),crosscorre-lation(Coronnelloetal.2005;Coronnelloetal.2007;GarasandArgyrakis2007;Gopikrishnanetal.2000;Jungetal.2006;Lalouxetal.1999;Mantegna1999;Noh2000;PafkaandKondor2004;Plerouetal.2002;Utsugietal.2004),eigenvaluea
7、na-lysis,hierarchalclustering(Coronnelloetal.2005;Coronnelloetal.2007;GarasandArgyrakis2007;Gopikrishnanetal.2000;Jungetal.2006;Lalouxetal.1999;Man-tegna1999;Noh2000;PafkaandKondor2004;Plerouetal.2002;Utsugietal.2004).Theeventsoftherecentpast,seeingwhatisperhapsthebiggest
8、economiccrisissincethegreatdepressioninthe1930’semphasizetheimportanceoftheattemptstostudyandund
