Random matrix theory analysis of cross correlations in financial markets
about
Dominating clasp of the financial sector revealed by partial correlation analysis of the stock marketIntrinsic Multi-Scale Dynamic Behaviors of Complex Financial SystemsStructure of local interactions in complex financial dynamicsSpectral properties of empirical covariance matrices for data with power-law tails.Quantification of intra- and inter-cluster relations in nonstationary and noisy data.Data-driven estimates of the number of clusters in multivariate time series.Cross-correlation asymmetries and causal relationships between stock and market risk.Dynamic evolution of cross-correlations in the Chinese stock market.Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations.Exploring Market State and Stock Interactions on the Minute Timescale.Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets.Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices.Measuring critical transitions in financial markets.Agent-based model with multi-level herding for complex financial systems.Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes.Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices.A systems-level approach to human epileptic seizures.Measuring information interactions on the ordinal pattern of stock time series.Detecting synchronization clusters in multivariate time series via coarse-graining of Markov chains.Collective behavior of stock price movements in an emerging market.Scaling analysis of stock markets.RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
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P2860
Random matrix theory analysis of cross correlations in financial markets
description
article
@en
im August 2004 veröffentlichter wissenschaftlicher Artikel
@de
wetenschappelijk artikel
@nl
наукова стаття, опублікована в серпні 2004
@uk
name
Random matrix theory analysis of cross correlations in financial markets
@en
Random matrix theory analysis of cross correlations in financial markets
@nl
type
label
Random matrix theory analysis of cross correlations in financial markets
@en
Random matrix theory analysis of cross correlations in financial markets
@nl
prefLabel
Random matrix theory analysis of cross correlations in financial markets
@en
Random matrix theory analysis of cross correlations in financial markets
@nl
P2860
P1433
P1476
Random matrix theory analysis of cross correlations in financial markets
@en
P2093
Akihiko Utsugi
Kazusumi Ino
P2860
P304
P356
10.1103/PHYSREVE.70.026110
P407
P433
P577
2004-08-24T00:00:00Z
P698
P818
cond-mat/0312643