Random Matrix Theory of Dynamical Cross Correlations in Financial Data
نویسندگان
چکیده
منابع مشابه
Random matrix approach to cross correlations in financial data.
We analyze cross correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of 1000 US stocks for the 2-yr period 1994-1995, (ii) 30-min returns of 881 US stocks for the 2-yr period 1996-1997, and (iii) 1-day returns of 422 US stocks f...
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ژورنال
عنوان ژورنال: Progress of Theoretical Physics Supplement
سال: 2009
ISSN: 0375-9687
DOI: 10.1143/ptps.179.60