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The bulk of the stock market correlation matrix is not pure noise · Study

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ArticleThe bulk of the stock market correlation matrix is not pure noise

Jarosław Kwapień2005

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The bulk of the stock market correlation matrix is not pure noise

Jarosław Kwapień · Stanisław Drożdż · Paweł Oświȩcimka

61 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Quantum chaos and dynamical systems Random Matrices and Applications

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References

1952Portfolio Selection 2002Multifractal detrended fluctuation analysis of nonstationary time series 2003A theory of power-law distributions in financial market fluctuations 1999Noise Dressing of Financial Correlation Matrices 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series 2002Random matrix approach to cross correlations in financial data 1999Statistical properties of the volatility of price fluctuations 1999Scaling of the distribution of price fluctuations of individual companies

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2014Dynamic Evolution of Cross-Correlations in the Chinese Stock Market 2020Competition of noise and collectivity in global cryptocurrency trading: Route to a self-contained market

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Year2005

Typearticle

Published2005-06-29

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations61

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2005.05.090

openalex_workW2070034262

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