Dynamics of cross-correlations in the stock market

DOI10.1016/S0378-4371(03)00005-0zbMath1072.91571OpenAlexW2035330366MaRDI QIDQ1873967

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

Publication date: 21 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00005-0

zbMATH Keywords

random matrix theoryeigenvector time dependencestock-price fluctuation co-movements

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Cluster analysis for portfolio optimization ⋮ The cross-correlation analysis of multi property of stock markets based on MM-DFA ⋮ Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient ⋮ Statistical physics and economic fluctuations: do outliers exist?

Cites Work

• Unnamed Item
• On a class of analytic functions from the quantum theory of collisions
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Introduction to Econophysics
• Free random Lévy variables and financial probabilities

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