# Stochastic dynamical model for stock-stock correlations.

نویسندگان

##### چکیده

We propose a model of coupled random walks for stock-stock correlations. The walks in the model are coupled via a mechanism that the displacement (price change) of each walk (stock) is activated by the price gradients over some underlying network. We assume that the network has two underlying structures, describing the correlations among the stocks of the whole market and among those within individual groups, respectively, each with a coupling parameter controlling the degree of correlation. The model provides the interpretation of the features displayed in the distribution of the eigenvalues for the correlation matrix of real market on the level of time sequences. We verify that such modeling indeed gives good fitting for the market data of US stocks.

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ورود##### عنوان ژورنال:

- Physical review. E, Statistical, nonlinear, and soft matter physics

دوره 70 2 Pt 2 شماره

صفحات -

تاریخ انتشار 2004