摘要翻译：
为了考察不同市场间相互作用结构的普遍性，我们分析了印度国家证券交易所(NSE)股票价格波动的互相关矩阵C。我们发现，与纽约证券交易所(NYSE)等发达市场相比，这个新兴市场在股价波动方面表现出很强的相关性。这是由于共同市场模式对股票价格的主导影响。相比之下，相关股票之间的相互作用，例如属于同一商业部门的股票，要弱得多。新兴市场缺乏独特的行业特征，通过重构相互影响的股票网络，这一点得到了明确的体现。对NSE的C谱分析表明，少数最大特征值偏离了随机矩阵理论预测的大部分谱，但与NYSE相比，这些最大特征值的数目要少得多。通过对股票价格动态的双因素模型建模，我们发现这是由于与市场模式相比，股票之间的部门内相互作用相对较弱。我们的结果表明，由多组强耦合成分组成的内部结构的出现是市场发展的标志。
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英文标题：
《Collective behavior of stock price movements in an emerging market》
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作者：
Raj Kumar Pan and Sitabhra Sinha
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Other Condensed Matter        其他凝聚态物质
分类描述：Work in condensed matter that does not fit into the other cond-mat classifications
在不适合其他cond-mat分类的凝聚态物质中工作
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due to the dominant influence of a common market mode on the stock prices. By comparison, interactions between related stocks, e.g., those belonging to the same business sector, are much weaker. This lack of distinct sector identity in emerging markets is explicitly shown by reconstructing the network of mutually interacting stocks. Spectral analysis of C for NSE reveals that, the few largest eigenvalues deviate from the bulk of the spectrum predicted by random matrix theory, but they are far fewer in number compared to, e.g., NYSE. We show this to be due to the relative weakness of intra-sector interactions between stocks, compared to the market mode, by modeling stock price dynamics with a two-factor model. Our results suggest that the emergence of an internal structure comprising multiple groups of strongly coupled components is a signature of market development.
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PDF链接：
https://arxiv.org/pdf/0704.0773