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dc.contributor.authorReigneron, Pierre-Alain
dc.contributor.authorAllez, Romain
dc.contributor.authorBouchaud, Jean-Philippe
dc.date.accessioned2013-01-29T13:56:38Z
dc.date.available2013-01-29T13:56:38Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10911
dc.language.isoenen
dc.subjectIndex leverage effecten
dc.subjectRandom matrix theoryen
dc.subject.ddc519en
dc.subject.classificationjelG1en
dc.titlePrincipal regression analysis and the index leverage effecten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call ‘Principal Regression Analysis’ (PRA) and for which we provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the average correlation between stocks (as measured by the most negative eigenvalue of the conditional correlation matrix), and makes the market mode more uniform. Upward trends, on the other hand, also increase the average correlation between stocks but rotates the corresponding market mode away from uniformity. There are two time scales associated to these effects, a short one on the order of a month (20 trading days), and a longer time scale on the order of a year. We also find indications of a leverage effect for sectorial correlations as well, which reveals itself in the second and third mode of the PRA.en
dc.relation.isversionofjnlnamePhysica. A, Statistical Mechanics and its Applications
dc.relation.isversionofjnlvol390en
dc.relation.isversionofjnlissue17en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages3026–3035en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.physa.2011.04.007en
dc.identifier.urlsitehttp://arxiv.org/abs/1011.5810v2en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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