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Equity markets correlation universalities and multi-asset market states

Yuriy A. Stepanov 1,2Rudolf Schäfer 1Thomas Guhr 1Joachim Peinke 3Philip Rinn 3

1. Faculty of Physics, University of Duisburg-Essen, Duisburg 47048, Germany
2. Quant.Capital Management GmbH, Speditionstraße 17, Düsseldorf D-40221, Germany
3. Carl von Ossietzky University of Oldenburg, Oldenburg D-26111, Germany

Abstract

We combine geometric data analysis and stochastic modeling to identify financial correlation dominating variables and extract its explicit stochastic model.  We analyze dynamically distinct market states and quantify system behavior within the states [1,2]. We apply these methods to correlation dynamics of European equities and iBoxx® bond indices. We recover our earlier results for equities, which are therefore universal. We use the multi-asset market states and study real economy dynamics [3]. As an application of equity universalities, we use correlation extreme values for trading equity index futures.

[1] YS,  Rinn P, Guhr T, Peinke J and and Schäfer R, J. Stat. Mech. 2015 (2015) P08011

[2]  Rinn P, YS,  Peinke J, Guhr T and Schäfer R, EPL, 110 (2015) 68003

[3] YS,  Erik Wellner and Tarek Abou-Zeid, "Quant.Capital Management",  c15-Dezember-2015, http://www.quantcapital.de/en/news/

 

Auxiliary resources (full texts, presentations, posters, etc.)
  1. FULLTEXT: Equity markets correlation universalities and multi-asset market states, PDF document, version 1.3, 0.5MB
  2. FULLTEXT: Equity markets correlation universalities and multi-asset market states, PDF document, version 1.4, 1.9MB
  3. POSTER: Equity markets correlation universalities and multi-asset market states, PDF document, version 1.5, 10.2MB
 

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Related papers

Presentation: Oral at Econophysics Colloquium 2017, Symposium A, by Yuriy A. Stepanov
See On-line Journal of Econophysics Colloquium 2017

Submitted: 2017-02-21 13:35
Revised:   2017-03-03 17:07