文献类型：期刊文献

英文题名：Dynamics of cluster structure in financial correlation matrix

作者：Nie, Chun-Xiao[1]

机构：[1]East China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China

年份：2017

卷号：104

起止页码：835

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20172303729924);WOS:【SSCI(收录号:WOS:000415298800087)，SCI-EXPANDED(收录号:WOS:000415298800087)】；

语种：英文

外文关键词：Correlation dimension; Cluster algorithm; Financial network; Financial crisis; Correlation coefficient matrix

摘要：The correlation dimensions in the financial market are calculated and used as a measure to study the cluster structure in the correlation coefficient matrix. First, based on the existing model, we present a toy model. Using the model-generated data, we find that the clearer cluster structure corresponds to a smaller dimension. It implies that the correlation dimension can be used as a measure of the cluster structure in the correlation coefficient matrix. Finally, we use the algorithm to compute the clusters in the real market and verify the previous empirical evidence. The results show that the cluster structure in the financial correlation coefficient matrix may change with time. The correlation dimension is smaller after the financial crisis, indicating that the cluster structure is clearer after the financial crisis. (C) 2017 Elsevier Ltd. All rights reserved.