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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

Authors


Porter, MA More by this author
Williams, S More by this author
McDonald, M More by this author
Johnson, NF More by this author
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Journal:
Physical review. E, Statistical, nonlinear, and soft matter physics
Volume:
84
Issue:
2 Pt 2
Pages:
026109
Publication date:
2011-08-05
DOI:
EISSN:
1550-2376
ISSN:
1539-3755
URN:
uuid:8d909e3b-fcc3-4d3e-ac80-b7d02b129778
Source identifiers:
180409
Local pid:
pubs:180409

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