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The index cohesive force (ICF) concept has been introduced by Dror Y. Kenett and his Ph.D. supervisor Eshel Ben-Jacob, as a new quantitative measure of the index effect on financial markets. The ICF is formally defined as the balance (ratio) between the raw stock correlations that include the index effect and the residual stock correlations (or partial correlations) after subtraction of the index effect. Defined this way, the ICF provides a means to identify structural changes in the market, which can render it prone to systemic collapses: High values of the ICF characterize a state in which the index predominantly affects the market dynamics while it shades the effect of other degrees of freedom that can contribute to the market flexibility. Thus high values of the ICF correspond to a st

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  • Index cohesive force (en)
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  • The index cohesive force (ICF) concept has been introduced by Dror Y. Kenett and his Ph.D. supervisor Eshel Ben-Jacob, as a new quantitative measure of the index effect on financial markets. The ICF is formally defined as the balance (ratio) between the raw stock correlations that include the index effect and the residual stock correlations (or partial correlations) after subtraction of the index effect. Defined this way, the ICF provides a means to identify structural changes in the market, which can render it prone to systemic collapses: High values of the ICF characterize a state in which the index predominantly affects the market dynamics while it shades the effect of other degrees of freedom that can contribute to the market flexibility. Thus high values of the ICF correspond to a st (en)
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  • http://commons.wikimedia.org/wiki/Special:FilePath/Dynamics_of_US_stock_market_correlations.jpg
  • http://commons.wikimedia.org/wiki/Special:FilePath/Topology_of_US_market_before_and_after_transition.jpg
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  • The index cohesive force (ICF) concept has been introduced by Dror Y. Kenett and his Ph.D. supervisor Eshel Ben-Jacob, as a new quantitative measure of the index effect on financial markets. The ICF is formally defined as the balance (ratio) between the raw stock correlations that include the index effect and the residual stock correlations (or partial correlations) after subtraction of the index effect. Defined this way, the ICF provides a means to identify structural changes in the market, which can render it prone to systemic collapses: High values of the ICF characterize a state in which the index predominantly affects the market dynamics while it shades the effect of other degrees of freedom that can contribute to the market flexibility. Thus high values of the ICF correspond to a state in which the market index dominates the behavior of the market, thus making it stiff and hence during such state the market is highly prone to systematic collapses, even due to relatively small external perturbations, leaving it incapable of coping with crises. (en)
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