Journal article
Temporal evolution of financial-market correlations.
- Abstract:
-
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characteriz...
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- Publisher copy:
- 10.1103/physreve.84.026109
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Bibliographic Details
- Journal:
- Physical review. E, Statistical, nonlinear, and soft matter physics
- Volume:
- 84
- Issue:
- 2 Pt 2
- Pages:
- 026109
- Publication date:
- 2011-08-01
- DOI:
- EISSN:
-
1550-2376
- ISSN:
-
1539-3755
- Source identifiers:
-
180409
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:180409
- UUID:
-
uuid:8d909e3b-fcc3-4d3e-ac80-b7d02b129778
- Local pid:
- pubs:180409
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2011
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