SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The bulk of the stock market correlation matrix is not pure noise
16 references·2 citing·36 second hop
The bulk of the stock market correlation matrix is not pure noise (2005)The bulk of the stock market correlation …Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Wavelet versus detrended fluc…Random matrix theory analysis of cross correlations in financial markets (2004)Random matrix theory analysis…Multifractality in the stock market: price increments versus waiting times (2004)Multifractality in the stock …Components of multifractality in high-frequency stock returns (2004)Components of multifractality…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Noisy covariance matrices and portfolio optimization II (2003)Noisy covariance matrices and…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Multi-affine analysis of typical currency exchange rates (1998)Multi-affine analysis of typi…Portfolio Selection (1952)Portfolio SelectionCompetition of noise and collectivity in global cryptocurrency trading: Route to a self-contained market (2020)Competition of noise and coll…Dynamic Evolution of Cross-Correlations in the Chinese Stock Market (2014)Dynamic Evolution of Cross-Co…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)Statistical physics of human cooperation (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Fractals and Scaling in Finance (1997)A multifractal approach for stock market inefficiency (2008)Comparison of detrending methods for fluctuation analysis (2008)Fractal and Multifractal Time Series (2009)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)The Granular Origins of Aggregate Fluctuations (2011)Modern Portfolio Theory and Investment Analysis. (1982)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Options, Futures, and Other Derivative Securities. (1990)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)The Variation of Certain Speculative Prices (1963)Institutional Investors and Stock Market Volatility (2006)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1952Portfolio Selection4,609 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 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
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2006Wavelet versus detrended fluctuation analysis of multifractal structures339 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2004Random matrix theory analysis of cross correlations in financial markets174 cited
  • 2004Multifractality in the stock market: price increments versus waiting times159 cited
  • 2004Components of multifractality in high-frequency stock returns152 cited
  • 1998Multi-affine analysis of typical currency exchange rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

137 cited
  • 2003Noisy covariance matrices and portfolio optimization II115 cited
  • Cited by

    • 2014Dynamic Evolution of Cross-Correlations in the Chinese Stock Market54 cited
    • 2020Competition of noise and collectivity in global cryptocurrency trading: Route to a self-contained market53 cited