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Correlations and cross-correlations in the Brazilian agrarian commodities and stocks

✍ Scribed by Erinaldo Leite Siqueira Jr.; Tatijana Stošić; Lucian Bejan; Borko Stošić

Book ID
108237086
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
287 KB
Volume
389
Category
Article
ISSN
0378-4371

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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