Cluster fusion-fission dynamics in the Singapore stock exchange

• Main Authors: Teh, Boon Kin, Cheong, Siew Ann
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2016
• Subjects: Statistical and Nonlinear Physics
• Online Access: https://hdl.handle.net/10356/82803; http://hdl.handle.net/10220/40349
• Institution: Nanyang Technological University

In this paper, we investigate how the cross-correlations between stocks in the Singapore stock exchange (SGX) evolve over 2008 and 2009 within overlapping one-month time windows. In particular, we examine how these cross-correlations change before, during, and after the Sep–Oct 2008 Lehman Brothers...