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Temporal variations of serial correlations of trading volume in the US stock market

✍ Scribed by José Alvarez-Ramírez; Eduardo Rodríguez


Book ID
113849490
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
459 KB
Volume
391
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