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MiS Preprint Repository

We have decided to discontinue the publication of preprints on our preprint server as of 1 March 2024. The publication culture within mathematics has changed so much due to the rise of repositories such as ArXiV (www.arxiv.org) that we are encouraging all institute members to make their preprints available there. An institute's repository in its previous form is, therefore, unnecessary. The preprints published to date will remain available here, but we will not add any new preprints here.

MiS Preprint
46/2011

On the Application of the Cross-Correlations in the Chinese Fund Market: Descriptive Properties and Scaling Behaviors

Weibing Deng, Wei Li, Xu Cai and Qiuping Wang

Abstract

On the basis of the relative daily logarithmic returns of 88 different funds in the Chinese fund market (CFM) from June 2005 to October 2009, we construct the cross-correlation matrix of the CFM. It is shown that the logarithmic returns follow an exponential distribution, which is commonly shared by some emerging markets. We hereby analyze the statistical properties of the cross-correlation coefficients in different time periods, such as the distribution, the mean value, the standard deviation, the skewness and the kurtosis. By using the method of the scaled factorial moment, we observe the intermittence phenomenon in the distribution of the cross-correlation coefficients. Also by employing the random matrix theory (RMT), we find a few isolated large eigenvalues of the cross-correlation matrix, and the distribution of eigenvalues exhibits the power-law tails. Furthermore, we study the features of the correlation strength with a simple definition.

Received:
Jul 20, 2011
Published:
Aug 16, 2011
Keywords:
cross-correlation, Random matrix theory, power-law

Related publications

inJournal
2011 Repository Open Access
Weibing Deng, Wei Li, Xu Cai and Qiuping Alexandre Wang

On the application of the cross-correlation in the Chinese fund market : descriptive properties and scaling behaviors

In: Advances in complex systems, 14 (2011) 1, pp. 97-109