Random magnets and correlations of stock price fluctuations

DOI10.1016/S0378-4371(02)01049-XzbMath1001.91026OpenAlexW1983389736MaRDI QIDQ1850397

H. Eugene Stanley, Bernd Rosenow, Vasiliki Plerou, Parameswaran Gopikrishnan

Publication date: 3 December 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01049-x

zbMATH Keywords

risk reductionoptimal investment strategieshighly-correlated eigenmode time series

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (6)

Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property ⋮ Economic fluctuations and statistical physics: the puzzle of large fluctuations ⋮ Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models ⋮ Random matrix application to correlations amongst the volatility of assets ⋮ The convergence of European business cycles 1978-2000 ⋮ Hidden noise structure and random matrix models of stock correlations

Cites Work

• Unnamed Item
• On a class of analytic functions from the quantum theory of collisions
• Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Introduction to Econophysics

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