Action correlations and random matrix theory
نویسندگان
چکیده
منابع مشابه
Random Matrix Theory and Financial Correlations
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate financial time series. We find a remarkable agreement between the theoretical prediction (based on the assumption that the correlation matrix is random) and empirical data concerning the den...
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ژورنال
عنوان ژورنال: Journal of Physics A: Mathematical and General
سال: 2003
ISSN: 0305-4470
DOI: 10.1088/0305-4470/36/12/338