Sandoval, Leonidas; Franca, Italo De Paula - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 187-208
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In...