Berlin 2012 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 15: Poster Session

SOE 15.1: Poster

Mittwoch, 28. März 2012, 16:50–17:50, Poster F

Evolvement of uniformity and volatility in the stressed global financial village — •Dror Y. Kenett¹, Matthias Raddant^2,3, Thomas Lux^2,3, and Eshel Ben-Jacob¹ — ¹School of Physics and Astronomy, Tel-Aviv University, Tel-Aviv, Israel — ²Kiel Institute for the World Economy, Kiel, Germany — ³Department of Economics, University of Kiel, Kiel, Germany

In the current era of strong worldwide market couplings, the global financial village has become highly prone to systemic collapses, events that can rapidly sweep through out the entire village. We present a new methodology to assess and quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations). We investigated the relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December 2010. We found that while the developed "western" markets (U.S., U.K., Germany), are highly correlated, the interdependencies between these markets and the developing "eastern" markets (India and China) are very volatile and with noticeable maxima at times of global world events (2001: 9/11-attacks, 2003: Iraq war, SARS, etc). The Japanese market switches "identity" - it switches between periods of high meta-correlations with the "western" markets and periods that it behaves more similar to the "eastern" markets. The methodological framework provides a way to quantify the evolvement of interdependencies in the global market, and to evaluate the world financial network.