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On the analysis of cross-correlations in South African market data

โœ Scribed by Diane Wilcox; Tim Gebbie

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
216 KB
Volume
344
Category
Article
ISSN
0378-4371

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๐Ÿ“œ SIMILAR VOLUMES

Dynamics of cross-correlations in the st
Dynamics of cross-correlations in the stock market
โœ Bernd Rosenow; Parameswaran Gopikrishnan; Vasiliki Plerou; H Eugene Stanley ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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