Teh, Boon Kin; Goo, Yik Wen; Lian, Tong Wei; Ong, Wei Guang - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 225-241
We analyzed 546 stocks in the Singapore Stock Exchange (SGX) and 1173 stocks in the Hong Kong Stock Exchange (HKSE) in 2006 and 2007, to understand how financial hierarchies on these two markets change over market corrections and crashes. To do so, we introduced the digital cross correlation as...
