Quantifying the dynamics of financial correlations

DOI10.1016/S0378-4371(01)00289-8zbMath0974.91520arXivcond-mat/0102402MaRDI QIDQ5947873

S. Drożdż, F. Grümmer, F. Ruf, J. Kwapień, J. Speth

Publication date: 23 October 2001

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0102402

zbMATH Keywords

fluctuationsfinancial time seriescorrelation matrix formalism

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (12)

Ising model of financial markets with many assets ⋮ Cluster analysis for portfolio optimization ⋮ Alternation of different fluctuation regimes in the stock market dynamics ⋮ Multi-scale correlations in different futures markets ⋮ Dynamic instability in generic model of multi-assets markets ⋮ Nature of order from random two-body interactions ⋮ SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET ⋮ Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case ⋮ Financial multifractality and its subtleties: An example of DAX ⋮ Identifying complexity by means of matrices ⋮ The convergence of European business cycles 1978-2000 ⋮ Decomposing the stock market intraday dynamics

Cites Work

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• On a class of analytic functions from the quantum theory of collisions
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• Eigenvalues and Condition Numbers of Random Matrices
• Introduction to Econophysics
• Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

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