Co-movements of stock price uctuations are described by the cross-correlation matrix C. The application of random matrix theory (RMT) allows to distinguish between spurious correlations in C due to measurement noise and true correlations containing economically meaningful information. By calculating
✦ LIBER ✦
Alternation of different fluctuation regimes in the stock market dynamics
✍ Scribed by J. Kwapień; S. Drożdż; J. Speth
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 362 KB
- Volume
- 330
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Dynamics of cross-correlations in the st
✍
Bernd Rosenow; Parameswaran Gopikrishnan; Vasiliki Plerou; H Eugene Stanley
📂
Article
📅
2003
🏛
Elsevier Science
🌐
English
⚖ 107 KB
Extreme US stock market fluctuations in
✍
S. T. M. Straetmans; W. F. C. Verschoor; C. C. P. Wolff
📂
Article
📅
2008
🏛
John Wiley and Sons
🌐
English
⚖ 240 KB
## Abstract We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value‐at‐risk and extremal linkages were significantly altered by 9/11. We test whether semi‐parametric quantile estimates of ‘downside risk’ and ‘upward potential’ have incre
On distribution of number of trades in d
✍
I.M. Dremin; A.V. Leonidov
📂
Article
📅
2005
🏛
Elsevier Science
🌐
English
⚖ 434 KB
The cost of carry model and regime shift
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation
✍
Lucio Sarno; Giorgio Valente
📂
Article
📅
2000
🏛
John Wiley and Sons
🌐
English
⚖ 239 KB
👁 3 views
Dynamical systems in macroeconomics: Alt
✍
Serena Sordi
📂
Article
📅
1986
🏛
Elsevier Science
🌐
English
⚖ 349 KB
Evolution in the time series of vortex v
Evolution in the time series of vortex velocity fluctuations across different regimes of vortex flow
✍
S.S. Banerjee; Jaivardhan Sinha; Shyam Mohan; A.K. Sood; S. Ramakrishnan; A.K. G
📂
Article
📅
2010
🏛
Elsevier Science
🌐
English
⚖ 289 KB