Correlation structure and dynamics in volatile markets
نویسندگان
چکیده
منابع مشابه
Correlation structure and dynamics in volatile markets
The statistical signatures of the ‘credit crunch’ financial crisis that unfolded between 2008 and 2009 are investigated by combining tools from statistical physics and network theory. We devise measures for the collective behavior of stock prices based on the construction of topologically constrained graphs from cross-correlation matrices. We test the stability, statistical significance and eco...
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ژورنال
عنوان ژورنال: New Journal of Physics
سال: 2010
ISSN: 1367-2630
DOI: 10.1088/1367-2630/12/8/085009