Average cross-responses in correlated financial markets
Fakultät für Physik, Universität Duisburg-Essen, Lotharstraße 1, 47048 Duisburg, Germany
Received: 4 March 2016
Received in final form: 6 June 2016
Published online: 26 September 2016
There are non-vanishing price responses across different stocks in correlated financial markets, reflecting non-Markovian features. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-response exhibits a shorter response period with sizeable volatilities, while the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast to the short-memory trade sign cross-correlations for each pair of stocks, the sign cross-correlations averaged over different pairs of stocks show long memory.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2016