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High-frequency cross-correlation in a set of stocks

✍ Scribed by Bonanno, G.; Lillo, F.; Mantegna, R.N.

Book ID
126651853
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
158 KB
Volume
1
Category
Article
ISSN
1469-7688

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Dynamics of cross-correlations in the st
Dynamics of cross-correlations in the stock market
✍ Bernd Rosenow; Parameswaran Gopikrishnan; Vasiliki Plerou; H Eugene Stanley πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 107 KB

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