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Random matrix theory analysis of cross correlations in financial markets
8 references·16 citing·28 second hop
Random matrix theory analysis of cross correlations in financial markets (2004)Random matrix theory analysis of cross co…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Introduction to Econophysics (1999)Introduction to EconophysicsModern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio optimization based on network topology (2018)Portfolio optimization based …Community Detection for Correlation Matrices (2015)Community Detection for Corre…Structure of local interactions in complex financial dynamics (2014)Structure of local interactio…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…Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets (2012)Multifractal detrended cross-…Will the US economy recover in 2010? A minimal spanning tree study (2011)Will the US economy recover i…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…Analysis of a network structure of the foreign currency exchange market (2009)Analysis of a network structu…Cross-correlation dynamics in financial time series (2008)Cross-correlation dynamics in…Collective behavior of stock price movements in an emerging market (2007)Collective behavior of stock …The bulk of the stock market correlation matrix is not pure noise (2005)The bulk of the stock market …Systematic analysis of group identification in stock markets (2005)Systematic analysis of group …PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Stock market as temporal network (2018)Structural Entropy: Monitoring Correlation-Based Networks Over Time With Application To Financial Markets (2019)A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)Portfolio Selection: Efficient Diversification of Investments (1959)Correlation and network analysis of global financial indices (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Statistical physics of human cooperation (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Options, Futures, and Other Derivative Securities. (1990)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)The Sharpe Ratio (1994)Betting against beta (2013)Option pricing: A simplified approach (1979)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Financial markets under the global pandemic of COVID-19 (2020)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,036 cited
  • 1999Introduction to Econophysics1,919 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,282 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited

Cited by

  • 2007Collective behavior of stock price movements in an emerging market161 cited
  • 2015Community Detection for Correlation Matrices146 cited
  • 2005Systematic analysis of group identification in stock markets145 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
  • 2012

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Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets
110 cited
  • 2009The Index cohesive effect on stock market correlations97 cited
  • 2014Structure of local interactions in complex financial dynamics79 cited
  • 2008Cross-correlation dynamics in financial time series79 cited
  • 2018Portfolio optimization based on network topology73 cited
  • 2009Analysis of a network structure of the foreign currency exchange market69 cited
  • 2010Financial networks with static and dynamic thresholds63 cited
  • 2011Will the US economy recover in 2010? A minimal spanning tree study63 cited
  • 2005The bulk of the stock market correlation matrix is not pure noise61 cited
  • 2009On return-volatility correlation in financial dynamics57 cited