Theq-dependent detrended cross-correlation analysis of stock market

DOI10.1088/1742-5468/aa9db0zbMath1459.91230arXiv1705.01406OpenAlexW2610454053WikidataQ57194316 ScholiaQ57194316MaRDI QIDQ4964480

Yougui Wang, Boris Podobnik, Andrea Fenu, Wei Li, Longfeng Zhao, H. Eugene Stanley

Publication date: 2 March 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.01406

Mathematics Subject Classification ID

Social networks; opinion dynamics (91D30) Financial applications of other theories (91G80)

Related Items (1)

Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Cleaning large correlation matrices: tools from random matrix theory
• Investigation on series of length of coding and non-coding DNA sequences of bacteria using multifractal detrended cross-correlation analysis
• Multifractal methodology
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Complex networks: structure and dynamics
• LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION
• Influence network in the Chinese stock market
• Network topology of economic sectors
• A new method to estimate the noise in financial correlation matrices
• Random matrix application to correlations amongst the volatility of assets
• Power mapping with dynamical adjustment for improved portfolio optimization
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

This page was built for publication: Theq-dependent detrended cross-correlation analysis of stock market