Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we shall discuss its possible implications as an isolated state or as a beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.Comment: 12 pages, 4 figures, supplemental materials (6 figures, 3 videos
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In this paper a correction factor for Jennrich's statistic is introduced in order to be able not onl...
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BACKGROUND: The 2007-2009 financial crisis, and its fallout, has strongly emphasized the need to def...
Based on previous developments of the concept of market states using correlation matrices, in the pr...
Abstract. We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992 −...
The understanding of complex systems has become a central issue because such systems exist in a wide...
This paper examines the differential impacts of COVID-19 on the correlations and volatility of two d...
Using weekly returns of S&P 500 constituents, we study the time-varying correlation structure during...
Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidi...
This paper investigates the effects of the coronavirus disease 2019 (COVID-19) cases in the US on th...
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P ...
Master's thesis in Business administration (BE501)Following the arrival of the year 2020, the extrao...
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In this paper a correction factor for Jennrich's statistic is introduced in order to be able not onl...
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