标题： 金融收益中时间范围不变的相关结构的出现通过市场模式的减法 显示英文标题

标题： Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

摘要： 我们研究了资产回报率相关矩阵中结构的出现，随着计算回报的时间跨度从分钟级增加到日级，这种结构会逐渐显现。 我们分析了来自不同股票市场（纽约、巴黎、伦敦、米兰）的数据，并采用了不同的方法。 结果的关键取决于数据是否被限制在市场的“内部”动态中，即是否移除了“整体运动”（市场模式）。 如果未移除市场模式，我们发现随着时间跨度的增加，结构是从一个单一的大簇分裂而来的。 在纽约证券交易所（NYSE），我们发现当移除市场模式后，在日尺度上相关性结构在5分钟时间跨度时已经很好地定义，并且这一结构解释了80%的行业分类。 虽然其他市场的结果不如纽约那么明显，但同样发现了类似的结果。 我们还发现，隔夜回报的相关性结构与盘中活动的相关性结构存在显著差异。 显示英文摘要

摘要： We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at the daily scale is already well defined at the 5 minutes time-horizon, and this structure accounts for 80 % of the classification of stocks in economic sectors. Similar results, though less sharp, are found for the other markets. We also find that the structure of correlations in the overnight returns is markedly different from that of intraday activity.