Time scales involved in emergent market coherence
نویسندگان
چکیده
منابع مشابه
N ov 2 00 3 Time scales involved in market emergence
In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or minutes up to two days, we compare magnitude of the largest eigenvalue of the correlation matrix for the same set of securities but for different time scales. F...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2004
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.01.050