COVID anomaly in the correlation analysis of S&P 500 market states
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866914777863815168 |
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| author | Martínez-Ramos, M. Mijaíl Vyas, Manan Majai, Parisa Seligman, Thomas H. |
| author_facet | Martínez-Ramos, M. Mijaíl Vyas, Manan Majai, Parisa Seligman, Thomas H. |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_14830 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | COVID anomaly in the correlation analysis of S&P 500 market states Martínez-Ramos, M. Mijaíl Vyas, Manan Majai, Parisa Seligman, Thomas H. Applications Computation 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. |
| title | COVID anomaly in the correlation analysis of S&P 500 market states |
| topic | Applications Computation |
| url | https://arxiv.org/abs/2308.14830 |