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Collective behavior of stock price movements in an emerging market
16 references·15 citing·24 second hop
Collective behavior of stock price movements in an emerging market (2007)Collective behavior of stock price moveme…Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Dynamic asset trees and portfolio analysis (2002)Dynamic asset trees and portf…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Introduction to Econophysics (1999)Introduction to EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Théorie de la spéculation (1900)Théorie de la spéculationA Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)A Review of Two Decades of Co…Portfolio optimization based on network topology (2018)Portfolio optimization based …Community Detection for Correlation Matrices (2015)Community Detection for Corre…Systemic risk and spatiotemporal dynamics of the US housing market (2014)Systemic risk and spatiotempo…Structure of local interactions in complex financial dynamics (2014)Structure of local interactio…Correlation and network topologies in global and local stock indices (2014)Correlation and network topol…Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013)Random matrix theory analysis…Correlation and network analysis of global financial indices (2012)Correlation and network analy…Temporal evolution of financial-market correlations (2011)Temporal evolution of financi…Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices (2011)Quantifying and modeling long…Financial networks with static and dynamic thresholds (2010)Financial networks with stati…The Index cohesive effect on stock market correlations (2009)The Index cohesive effect on …On return-volatility correlation in financial dynamics (2009)On return-volatility correlat…Cross-correlation in financial dynamics (2009)Cross-correlation in financia…Multifractal properties of the Indian financial market (2008)Multifractal properties of th…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)Modern Portfolio Theory and Investment Analysis. (1982)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 2003Theory of Financial Risk and Derivative Pricing879 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited

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  • 2002Dynamic asset trees and portfolio analysis193 cited
  • Cited by

    • 2012Correlation and network analysis of global financial indices156 cited
    • 2015Community Detection for Correlation Matrices146 cited
    • 2021A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets139 cited
    • 2011Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices131 cited
    • 2013Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient128 cited
    • 2009Cross-correlation in financial dynamics115 cited
    • 2011Temporal evolution of financial-market correlations112 cited
    • 2014Correlation and network topologies in global and local stock indices106 cited
    • 2014Systemic risk and spatiotemporal dynamics of the US housing market98 cited
    • 2009The Index cohesive effect on stock market correlations97 cited
    • 2008Multifractal properties of the Indian financial market86 cited
    • 2014Structure of local interactions in complex financial dynamics79 cited
    • 2018Portfolio optimization based on network topology73 cited
    • 2010Financial networks with static and dynamic thresholds63 cited
    • 2009On return-volatility correlation in financial dynamics57 cited