Stability and hierarchy of quasi-stationary states: financial markets as an example. (19th August 2015)

• Record Type: Journal Article
• Authors: Stepanov, Yuriy; Rinn, Philip; Guhr, Thomas; Peinke, Joachim; Schäfer, Rudi
• Is Part Of: Journal of statistical mechanics. (2015:Aug.)
• Publication Date: 2015-08-19
• Subjects: 3 -- 12; 3/060 -- 12/020 -- 12/070 -- 12/110; Statistical mechanics -- Periodicals; Mechanics -- Statistical methods -- Periodicals; 530.1305
• DOI: 10.1088/1742-5468/2015/08/P08011
• Languages: English
• ISSNs: 1742-5468

Abstract

Abstract: We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. This allows us to establish a connection between its time evolution and known historical events on the market. We discuss the dynamics, the stability and the hierarchy of the recently proposed quasi-stationary market states.