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The cross-correlations of stock markets based on

✍ Scribed by Aijing Lin; Pengjian Shang; Xiaojun Zhao

Book ID
106487322
Publisher
Springer Netherlands
Year
2011
Tongue
English
Weight
854 KB
Volume
67
Category
Article
ISSN
0924-090X

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πŸ“œ SIMILAR VOLUMES

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