Non-stationary temporal-spatio correlation analysis of information-driven complex financial dynamics

Zhang, Jiu1; Zheng, Bo2,3,4,7; Jin, Lifu5; Li, Yan6; Jiang, Xiongfei

2024-04-01

10.1016/j.cjph.2023.10.035

CHINESE JOURNAL OF PHYSICS   影响因子和分区

0577-9073

The explosion of information production provides a new perspective on investigating complex dynamic systems such as the financial markets. With large-scale historical data, a textual-based sentiment index is introduced to study the correlations between the external information and the price return in the stock market. In particular, a novel approach taking into account the non-stationary effect of the sentiment is proposed to compute the sentiment-return correlation function, and it reveals a non-zero correlation between the past sentiment and the future motion of the price return. Such a computation is then extended to a cross-correlation form which describes the correlations between different sentiment indexes and price returns. A stratified structure of the cross-correlation functions is observed. With the random matrix theory, the features of the stratified structure are quantitatively analyzed. Finally, an investment strategy is constructed based on the temporal correlation.

Complex dynamic systems Non-stationary correlation functions Random matrix theory

SCI

英语

第一

National Natural Science Foundation of China["12175193","11775186"] ; Zhejiang Provincial Natural Science Foundation of China[LY20G010015] ; Planning Project of Zhejiang Provincial Philosophy and Social Sciences, PR China[20NDJC209YB]

Physics

Physics, Multidisciplinary

WOS:001195770000001

ELSEVIER

PHYSICS

Web of Science

1.Southern Univ Sci & Technol, Coll Sci, Dept Stat & Data Sci, Shenzhen 518055, Peoples R China
2.Yunnan Univ, Sch Phys & Astron, Kunming 650091, Peoples R China
3.Zhejiang Univ, Sch Phys, Hangzhou 310027, Peoples R China
4.Nanjing Univ, Collaborat Innovat Ctr Adv Microstruct, Nanjing 210093, Peoples R China
5.Wenzhou Univ Technol, Sch Econ & Management, Wenzhou 325035, Peoples R China
6.Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310027, Peoples R China
7.Ningbo Univ Finance & Econ, Coll Finance & Informat, Ningbo 315175, Peoples R China

Zhang, Jiu,Zheng, Bo,Jin, Lifu,et al. Non-stationary temporal-spatio correlation analysis of information-driven complex financial dynamics[J]. CHINESE JOURNAL OF PHYSICS,2024,88.

Zhang, Jiu,Zheng, Bo,Jin, Lifu,Li, Yan,&Jiang, Xiongfei.(2024).Non-stationary temporal-spatio correlation analysis of information-driven complex financial dynamics.CHINESE JOURNAL OF PHYSICS,88.

Zhang, Jiu,et al."Non-stationary temporal-spatio correlation analysis of information-driven complex financial dynamics".CHINESE JOURNAL OF PHYSICS 88(2024).