英文标题：
《State and group dynamics of world stock market by principal component
  analysis》
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作者：
Ashadun Nobi, Jae Woo Lee
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最新提交年份：
2015
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英文摘要：
  We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations between principal components (PCs) and each asset, known as PC coefficients. A change in market state is identified as a change in the first PC coefficients. Some indices do not show significant change of PCs in market state during crises. The indices exposed to the invested capitals in the stock markets are at the minimum level of risk. Using the first two PC coefficients, we identify indices that are similar and more strongly correlated than the others. We observe that the European indices form a robust group over the observation period. The dynamics of the individual indices within the group increase in similarity with time, and the dynamics of indices are more similar during the crises. Furthermore, the group formation of indices changes position in two-dimensional spaces due to crises. Finally, after a financial crisis, the difference of PCs between the European and American indices narrows.
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中文摘要：
我们研究了1998-2012年全球金融指数的动态互动和结构变化。我们将主成分分析（PCA）应用于股票指数的互相关系数。我们计算主成分（PC）和每项资产之间的相关性，称为PC系数。市场状态的变化被确定为第一个PC系数的变化。一些指数没有显示危机期间PC市场状态的显著变化。股票市场投资资本的指数处于最低风险水平。使用前两个PC系数，我们确定了与其他系数相似且相关性更强的指数。我们观察到，欧洲指数在观察期内形成了一个稳健的群体。随着时间的推移，组内各个指数的动态相似性增加，危机期间指数的动态更相似。此外，由于危机，指数群的形成改变了二维空间中的位置。最后，在金融危机之后，欧洲和美国指数之间的个人电脑差异缩小了。
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分类信息：

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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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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