• Analysing correlations after the financial crisis of 2008 and multifractality in global financial time series

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    • Keywords


      Random matrix theory; correlations; financial crisis; multifractality.

    • Abstract


      We apply random matrix theory (RMT) to investigate the structure of cross-correlation in 20 global financial time series after the global financial crisis of 2008. We find that the largest eigenvalue deviates from the RMT prediction and is sensitive to the financial crisis. We find that the components of eigenvectors corresponding to the second largest eigenvalue changes sign in response to the crisis. We show that 20 global financial indices exhibit multifractality. We find that the origin of multifractality is due to the long-range correlations as well as broad probability function in the financial indices, with the exception of the index of Taiwan, as in all other indices the multifractal degree for shuffled and surrogate series is weaker than the original series. We fit the binomial multifractal model to the global financial indices.

    • Author Affiliations


      Sunil Kumar1 Nivedita Deo2

      1. Department of Physics, Ramjas College, University of Delhi, Delhi 110 007, India
      2. Department of Physics and Astrophysics, University of Delhi, Delhi 110 007, India
    • Dates

  • Pramana – Journal of Physics | News

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      Posted on July 25, 2019

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