Browsing by Subject "Cross-correlation coefficient"
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Item Open Access Analysis of cross-correlations between financial markets after the 2008 crisis(Elsevier BV, 2013) Sensoy, A.; Yuksel, S.; Erturk, M.We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients arise from randomness. We show that the eigenvector of the largest deviating eigenvalue of C represents a global market itself. We reveal that high volatility of financial markets is observed at the same times with high correlations between them which lowers the risk diversification potential even if one constructs a widely internationally diversified portfolio of stocks. We identify and compare the connection and cluster structure of markets before and after the crisis using minimal spanning and ultrametric hierarchical trees. We find that after the crisis, the co-movement degree of the markets increases. We also highlight the key financial markets of pre and post crisis using main centrality measures and analyze the changes. We repeat the study using rank correlation and compare the differences. Further implications are discussed.Item Open Access Investigation of total electron content variability due to seismic and geomagnetic disturbances in the ionosphere(Wiley-Blackwell Publishing, 2010-10-20) Karatay S.; Arikan, F.; Arıkan, OrhanVariations in solar, geomagnetic, and seismic activity can cause deviations in the ionospheric plasma that can be detected as disturbances in both natural and man-made signals. Total electron content (TEC) is an efficient means for investigating the structure of the ionosphere by making use of GPS receivers. In this study, TEC data obtained for eight GPS stations are compared with each other using the cross-correlation coefficient (CC), symmetric Kullback-Leibler distance (KLD), and L2 norm (L2N) for quiet days of the ionosphere, during severe geomagnetic storms and strong earthquakes. It is observed that only KLD and L2N can differentiate the seismic activity from the geomagnetic disturbance and quiet ionosphere if the stations are in a radius of 340 km. When TEC for each station is compared with an average quiet day TEC for all periods using CC, KLD, and L2N, it is observed that, again, only KLD and L2N can distinguish the approaching seismicity for stations that are within 150 km radius to the epicenter. When the TEC of consecutive days for each station and for all periods are compared, it is observed that CC, KLD, and L2N methods are all successful in distinguishing the geomagnetic disturbances. Using sliding-window statistical analysis, moving averages of daily TEC with estimated variance bounds are also obtained for all stations and for all days of interest. When these bounds are compared with each other for all periods, it is observed that CC, KLD, and L2N are successful tools for detecting ionospheric disturbances.Item Open Access Selecting the most suitable index for the Istanbul Securities Exchange(1990) Köstem, AlperThis study examines the security market indicators in the foreign stock exchanges and in the Istanbul Securities Exchange (ISE) stock and proposes an index that may be the most suitable one for the ISE. The observations of the old ISE index and the new ISE index showed that they both have important probieme in reflecting the return of an average investor. The OLD ISE Index representing the result of a "no skill investment strategy", and the ISe companies. However, in calculating the return or an average investor correctly, the amount of publicy owned stocks are important.