Random Matrix Theory of Dynamical Cross Correlations in Financial Data

DOI10.1143/PTPS.179.60zbMath1175.91199OpenAlexW1989423841MaRDI QIDQ5325414

Yasuhiro Nakayama, Hiroshi Iyetomi

Publication date: 10 August 2009

Published in: Progress of Theoretical Physics Supplement (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1143/ptps.179.60

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial applications of other theories (91G80) Random matrices (algebraic aspects) (15B52) Portfolio theory (91G10)

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