Random matrix theory and cross-correlations in global financial indices and local stock market indices
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 the Korean Physical Society
سال: 2013
ISSN: 0374-4884,1976-8524
DOI: 10.3938/jkps.62.569