title: Exploring Market State and Stock Interactions on the Minute Timescale.
abstract: A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective.
authors.affiliation: Department of Physics, Zhejiang University, Hangzhou 310027, China.|Collaborative Innovation Center of Advanced Microstructures, Nanjing 210093, China.
authors.forename: Lei
authors.initials: L
authors.lastname: Tan
authors.affiliation: Department of Physics, Zhejiang University, Hangzhou 310027, China.|Collaborative Innovation Center of Advanced Microstructures, Nanjing 210093, China.
authors.forename: Jun-Jie
authors.initials: JJ
authors.lastname: Chen
authors.affiliation: Department of Physics, Zhejiang University, Hangzhou 310027, China.|Collaborative Innovation Center of Advanced Microstructures, Nanjing 210093, China.
authors.forename: Bo
authors.initials: B
authors.lastname: Zheng
authors.affiliation: Department of Physics, Zhejiang University, Hangzhou 310027, China.|Collaborative Innovation Center of Advanced Microstructures, Nanjing 210093, China.
authors.forename: Fang-Yan
authors.initials: FY
authors.lastname: Ouyang
mesh_terms: D002681:China; D040541:Marketing; D018803:Models, Economic