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Phase Transition in the S&P Stock Market

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  • Matthias Raddant
  • Friedrich Wagner

Abstract

We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order parameter which can be interpreted within an agent-based model. From 1995 to 2005 the market is in an ordered state and after 2005 in a disordered state.

Suggested Citation

  • Matthias Raddant & Friedrich Wagner, 2013. "Phase Transition in the S&P Stock Market," Papers 1306.2508, arXiv.org, revised Jun 2015.
    • Handle: RePEc:arx:papers:1306.2508
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    Cited by:

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    2. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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