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Level crossing analysis of the stock markets

✍ Scribed by Jafari, G R; Movahed, M S; Fazeli, S M; Tabar, M Reza Rahimi; Masoudi, S F


Book ID
120444618
Publisher
Institute of Physics
Year
2006
Tongue
English
Weight
427 KB
Volume
2006
Category
Article
ISSN
1742-5468

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Dynamics of cross-correlations in the st
✍ 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