Hidden noise structure and random matrix models of stock correlations (Q2873030)
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scientific article; zbMATH DE number 6247136
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hidden noise structure and random matrix models of stock correlations |
scientific article; zbMATH DE number 6247136 |
Statements
Hidden noise structure and random matrix models of stock correlations (English)
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17 January 2014
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random matrix theory
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clustering
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stock return cross correlations
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PCA
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residual risk bias
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participation ratio
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TAQ
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