文献类型：期刊文献

英文题名：Localized motion in random matrix decomposition of complex financial systems

作者：Jiang, Xiong-Fei[1,2];Zheng, Bo[2,3];Ren, Fei[4];Qiu, Tian[5]

机构：[1]Ningbo Dahongying Univ, Sch Informat Engn, Ningbo 315175, Zhejiang, Peoples R China;[2]Zhejiang Univ, Dept Phys, Hangzhou 310027, Zhejiang, Peoples R China;[3]Collaborat Innovat Ctr Adv Microstruct, Nanjing 210093, Jiangsu, Peoples R China;[4]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[5]Nanchang Hongkong Univ, Sch Informat Engn, Nanchang 330063, Jiangxi, Peoples R China

年份：2017

卷号：471

起止页码：154

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20170103208705);WOS:【SSCI(收录号:WOS:000393733300016)，SCI-EXPANDED(收录号:WOS:000393733300016)】；

基金：This work was supported in part by NNSF of China under Grant Nos. 11505099, 11375149 and 11175079, Zhejiang Provincial Non-Profit Fund for Applied Research under Grant No. 2016C33248, Ningbo Natural Science Foundation under Grant No. 2015A610160, Fok Ying Tong Education Foundation under Grant No. 132013.

语种：英文

外文关键词：Econophysics; Financial market; Business sector; Leverage effect; Two-factor model

摘要：With the random matrix theory, we decompose the multi-dimensional time series of complex financial systems into a set of orthogonal eigenmode functions, which are classified into the market mode, sector mode, and random mode. In particular, the localized motion generated by the business sectors, plays an important role in financial systems. Both the business sectors and their impact on the stock market are identified from the localized motion. We clarify that the localized motion induces different characteristics of the time correlations for the stock-market index and individual stocks. With a variation of a two factor model, we reproduce the return-volatility correlations of the eigenmodes. (C) 2016 Elsevier B.V. All rights reserved.