Annual relative change in correlations for the period 1985–2010.

<p>Top panel is the average Pearson’s correlation coefficient between price returns of the underlying components of the S&P 500 index, from 1985 to 2010. Bottom panel is the annual change of the average correlations as a fraction of its standard deviation computed over the previous year. Four year-long windows (shading) follow two standard deviation increases in the average Pearson’s correlation greater than twice the standard deviation from one year earlier, after periods of decline. One day crashes are as in <a href="http://www.plosone.org/article/info:doi/10.1371/journal.pone.0131871#pone.0131871.g003" target="_blank">Fig 3</a> (vertical red lines). This indicator generates 3 true positives, 2 false positives and 1 false negative.