# BPCPPDYSOE21 – wissenschaftliches Programm

## Bereiche | Tage | Auswahl | Suche | Aktualisierungen | Downloads | Hilfe

# SOE: Fachverband Physik sozio-ökonomischer Systeme

## SOE 5: Financial and Economic Systems and Evolutionary Game Theory

### SOE 5.1: Vortrag

### Dienstag, 23. März 2021, 14:00–14:20, SOEa

**Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion** — •Anton J. Heckens, Sebastian M. Krause, and Thomas Guhr — Universität Duisburg-Essen, Lotharstr. 1, 47048 Duisburg

Complex systems are characterized by a variety of interactions and often produce a strong correlated behavior of their system components. Stock markets are particularly well-suited as examples of such complex systems due to their abundance of data for the analysis of correlated phenomena. Münnix et al. [1] used correlation matrices over short time horizons, in order to analyze their dynamics with respect to their non-stationarity. Using a cluster procedure, it became apparent that there are quasi-stationary periods, so-called market states. They emerge, disappear or reemerge, but they are dominated by the collective motion of all stocks. To extract more refined information, we present a new approach by clustering correlation matrices which are free from the collective market motion [2]. The resulting dynamics is remarkably different, and the corresponding market states are quasi-stationary over a long period of time.

[1] M. C. Münnix, T. Shimada, R. Schäfer, F. Leyvraz, T. H. Seligman, T. Guhr and H. E. Stanley, Identifying States of a Financial Market, Scientific Reports 2, 644 (2012), arXiv:1202.1623

[2] A. J. Heckens, S. M. Krause, T. Guhr, Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion J. Stat. Mech. 2020, 103402 (2020), arXiv:2004.12336