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
β¦ LIBER β¦
Multiple patterns in the dynamics of a stock market model
β Scribed by Marcello Galeotti; Franco Gori
- Publisher
- Springer Milan
- Year
- 1993
- Tongue
- English
- Weight
- 824 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1593-8883
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Dynamics of cross-correlations in the st
β
Bernd Rosenow; Parameswaran Gopikrishnan; Vasiliki Plerou; H Eugene Stanley
π
Article
π
2003
π
Elsevier Science
π
English
β 107 KB
Passive motion in dynamical disorder as
β
James P. Gleeson
π
Article
π
2005
π
Elsevier Science
π
English
β 583 KB
Alternation of different fluctuation reg
β
J. KwapieΕ; S. DroΕΌdΕΌ; J. Speth
π
Article
π
2003
π
Elsevier Science
π
English
β 362 KB
The dynamics of strategic information fl
β
P. Seiler; B. Taub
π
Article
π
2007
π
Springer-Verlag
π
English
β 602 KB
Microscopic spin model for the dynamics
β
Jae-Suk Yang; Seungbyung Chae; Woo-Sung Jung; Hie-Tae Moon
π
Article
π
2006
π
Elsevier Science
π
English
β 401 KB
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s w
A model for the evaluation of systemic r
β
Marco Antonio Leonel Caetano; Takashi Yoneyama
π
Article
π
2011
π
Elsevier Science
π
English
β 803 KB