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Title: COVID anomaly in the correlation analysis of S&P 500 market states
(Submitted on 28 Aug 2023 (v1), last revised 30 Apr 2024 (this version, v2))
Abstract: Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we shall discuss its possible implications as an isolated state or as a beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.
Submission history
From: Manan Vyas Dr. [view email][v1] Mon, 28 Aug 2023 18:29:48 GMT (9652kb,D)
[v2] Tue, 30 Apr 2024 20:59:24 GMT (8401kb,D)
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