title: Synchrony in broadband fluctuation and the 2008 financial crisis.
abstract: We propose phase-like characteristics in scale-free broadband processes and consider fluctuation synchrony based on the temporal signature of significant amplitude fluctuation. Using wavelet transform, successful captures of similar fluctuation pattern between such broadband processes are demonstrated. The application to the financial data leading to the 2008 financial crisis reveals the transition towards a qualitatively different dynamical regime with many equity price in fluctuation synchrony. Further analysis suggests an underlying scale free "price fluctuation network" with large clustering coefficient.
authors.affiliation: Department of Mechanical and Industrial Engineering, Ryerson University, Toronto, Ontario, Canada.
authors.forename: Der Chyan
authors.initials: DC
authors.lastname: Lin
mesh_terms: D016000:Cluster Analysis; D003132:Commerce / Q000706:statistics & numerical data*; D006801:Humans; D015233:Models, Statistical; D010507:Periodicity; D020414:Risk Sharing, Financial / Q000706:statistics & numerical data*; D013997:Time Factors