Regensburg 2002 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 19: Finanzm
ärkte und Risikomanagement III

AKSOE 19.1: Vortrag

Donnerstag, 14. März 2002, 14:00–14:30, H8

Various aspects of the DAX high-frequency dynamics — •J. Kwapień, S. Drożdż, F. Grümmer, and J. Speth — Institut für Kernphysik, FZ Jülich, D-52425 Jülich, Germany

Our work is addressed to a problem of apparent noneffectiveness of a financial market. We study both "spatialNo-dq correlations between stocks from the DAX 30 market, and temporal correlations within the index itself (a time series of DAX returns divided into different trading days). In both cases, the eigenspectrum of the correlation matrix (CM) deviates from the predictions of Random Matrix Theory. There is at least one distant eigenvalue associated either with couplings between stocks, or with events which are repeatable across trading days. Using a moving time-window, we observe non-random deflections in mean value and shape of the eigenvalue fluctuation pdfs not only for the large eigenvalues, but also for the smaller ones. For a few largest eigenvalues in the temporal CM, pdfs of the related eigensignal fluctuations develop thicker tails than the ones for typical eigenvalues. This, together with the coexistence of thick tails of the return pdfs during volatile periods and thin ones over silent moments, indicates the existence of dynamical components governed by different laws.

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