Partial correlation analysis: applications for financial markets
نویسندگان
چکیده
Understanding the complex nature of financial markets remains a great challenge, especially in light of the most recent financial crisis. Recent studies have investigated large data-sets of financial markets, and have analysed and modelled the static and dynamic behaviour of this very complex system (Fama 1965, Lo and Craig MacKinlay 1990, Campbell et al. 1997, Lux and Marchesi 1999, Cont and Bouchaud 2000, Bouchaud and Potters 2003, Sornette 2004, Voit 2005, Eisler and Kertesz 2006, Takayasu 2006, Brock et al. 2009, Sinha et al. 2010, Abergel et al. 2011), suggesting that financial markets exhibit systemic shifts and display non-equilibrium properties. One prominent feature in financial markets is the presence of observed correlation (positive or negative) between the price movements of different financial assets. The presence of a
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