In:
Europhysics Letters, IOP Publishing, Vol. 138, No. 6 ( 2022-06-01), p. 61001-
Abstract:
We displayed in this paper the structure of cross-correlation between the S & P 500 stock market and the Brent Oil market and its evolutionary behavior. Technically, the ensemble empirical mode decomposition is adopted to separate the two series into components. Let a window slide along the multi-variate series of the components, generating a series of segments. For each segment, one calculates the mutual entropies between the components to describe the coupling strengths, resulting into a network between/within the two markets. The networks corresponding to the successive segments form a temporal network. It is found that the characteristic period of intrinsic mode for each series grows exponentially from several days to more than ten years. The couplings between long-term components (with periods larger than one year) form the stable backbone of the network. The shocks of short-term events on the long-term components determine mainly the evolutionary behavior, especially the changes of the coupling structure. This method can be extended straightforwardly to display the cross-correlation structures and their evolutions for complex systems composed of multi-subsystems.
Type of Medium:
Online Resource
ISSN:
0295-5075
,
1286-4854
DOI:
10.1209/0295-5075/ac30e6
Language:
Unknown
Publisher:
IOP Publishing
Publication Date:
2022
detail.hit.zdb_id:
1465366-7
detail.hit.zdb_id:
165776-8
Permalink