Search results for "CROSS-CORRELATIONS"
showing 5 items of 5 documents
Euclid preparation XIX. Impact of magnification on photometric galaxy clustering
2022
Aims. We investigate the importance of lensing magnification for estimates of galaxy clustering and its cross-correlation with shear for the photometric sample of Euclid. Using updated specifications, we study the impact of lensing magnification on the constraints and the shift in the estimation of the best fitting cosmological parameters that we expect if this effect is neglected.
When financial economics influences physics: The role of Econophysics
2019
This paper aims at analyzing the unexpected influence of Financial economics on Physics. The rise of Econophysics, a fundamentally new approach in finance, suggests that the influence between the two disciplines becomes less unilateral than in the past. Methodological debates emerging in Econophysics led physicists to acknowledge that dealing with financial complex systems contributed to a wider modelling of their field. The approach of econophysicists suggests that physicists might try to conceptualize physical phenomena by integrating elements they faced with in Financial economics, and more generally in Economics. Surprisingly, many of econophysicists’ argumentations have some methodolog…
Synergistic Information Transfer in the Global System of Financial Markets.
2020
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our …
Evolution of worldwide stock markets, correlation structure and correlation based graphs
2011
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, corre…
Evolution of correlation structure of industrial indices of U.S. equity markets
2013
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow dynamics. The slow dynamics has a time scale longer than five years showing that a different degree of diversification of the investment is possible in different periods of time. On top to this slow dynamics, we als…