TY - JOUR
T1 - Phase transition in the S&P stock market
AU - Raddant, M.
AU - Wagner, Friedrich
PY - 2016
Y1 - 2016
N2 - We analyze the returns of stocks contained in the Standard & Poor’s 500 index from 1987 until 2011. We use covariance matrices of the firms’ returns determined in a time windows of several years. We find that the eigenvector belonging to the leading eigenvalue (the market) exhibits a phase transition. The market is in an ordered state from 1995 to 2005 and in a disordered state after 2005. We can relate this transition to an order parameter derived from the stocks’ beta and the trading volume. This order parameter can also be interpreted within an agent-based model.
AB - We analyze the returns of stocks contained in the Standard & Poor’s 500 index from 1987 until 2011. We use covariance matrices of the firms’ returns determined in a time windows of several years. We find that the eigenvector belonging to the leading eigenvalue (the market) exhibits a phase transition. The market is in an ordered state from 1995 to 2005 and in a disordered state after 2005. We can relate this transition to an order parameter derived from the stocks’ beta and the trading volume. This order parameter can also be interpreted within an agent-based model.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-84929698535&partnerID=MN8TOARS
U2 - 10.1007/s11403-015-0160-x
DO - 10.1007/s11403-015-0160-x
M3 - Article
SN - 1860-7128
VL - 11
JO - Journal of Economic Interaction and Coordination
JF - Journal of Economic Interaction and Coordination
M1 - 229-246
ER -