Measuring the Collective Correlation of a Large Number of Stocks

DOI10.1142/9789811202391_0008zbMath1454.91259OpenAlexW3080166991MaRDI QIDQ5139388

Wei-Fang Niu, Henry Horng-Shing Lu

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0008

zbMATH Keywords

partition functiondimension reductionrandom graphcorrelation breakdowncollective correlation

Mathematics Subject Classification ID

Random graphs (graph-theoretic aspects) (05C80) Financial markets (91G15)

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