Emergence of correlations between securities at short time scales

DOI10.1016/j.physa.2019.04.262OpenAlexW2950588493MaRDI QIDQ2160104

Sofiane Aboura, Sebastien Valeyre, Denis S. Grebenkov

Publication date: 2 August 2022

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

Full work available at URL: https://arxiv.org/abs/1807.05015

zbMATH Keywords

correlation matrixmarket inefficiencylead-lag effectsecurity returnstime scale dependencetransaction impact

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Collective behavior of stock price movements - a random matrix theory approach

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