Dresden 2006 – scientific programme
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)
AKSOE 10.1: Poster
Wednesday, March 29, 2006, 16:00–18:00, P2
Increasing market efficiency: Evolution of cross-correlations of stock returns — •Bence Tóth1,2 and János Kertész1,3 — 1Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111 Budapest, Hungary — 2Lagrange Interdisciplinary Laboratory for Excellence in Complexity ISI Foundation, Turin, Italy — 3Laboratory of Computational Engineering, Helsinki University of Technology, P.O.Box 9400, FIN-02015 HUT, Finland
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origin while these peaks become sharper and higher, resulting in a diminution of the Epps effect. All these findings indicate that the market becomes increasingly efficient.