The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics

Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE

The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the period of rapid transformation of the market following liberalization. The eigenvalue distribution of the cross-correlation matrix, $\mathbf{C}$, of NSE is found to be similar to that of developed markets, such as the New York Stock Exchange (NYSE): the majority of eigenvalues fall within the bounds expected for a random matrix constructed from mutually uncorrela…

Inverse cubic law of index fluctuation distribution in Indian markets

One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristic power-law exponent, the universality of such behavior has been debated, particularly in regard to emerging markets. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used tick-by-t…

Volatility of an Indian stock market : A random matrix approach

We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of…

Self-organization of price fluctuation distribution in evolving markets

Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution that is identical to that observed for developed markets (e.g., NYSE). In particular, the…

描述有影响力传播者对印度市场不同行业的影响：复杂网络视角

Describing the effect of influential spreaders on the different sectors of Indian market: a complex networks perspective

本研究基于复杂网络分析，提出LIEST指标以区分印度市场各行业在危机期间的正负向影响，揭示了网络动力学的非线性特征。

利用拓扑数据分析与几何启发网络测度研究印度股票市场

Investigation of Indian stock markets using topological data analysis and geometry-inspired network measures

本文首次将离散里奇曲率与持续同调方法结合，对印度NSE和BSE股票市场进行脆弱性与系统性风险比较分析，发现持续熵更稳健，且持续同调比传统网络分析更能捕捉高阶结构并消除噪声。