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
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The dynamics of strategic information flows in stock markets
โ Scribed by P. Seiler; B. Taub
- Publisher
- Springer-Verlag
- Year
- 2007
- Tongue
- English
- Weight
- 602 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0949-2984
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