- 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...
Expand abstract - Publisher copy:
- 10.1103/physreve.84.026109
-
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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
- Language:
- English
- Keywords:
- Copyright date:
- 2011
Journal article
Temporal evolution of financial-market correlations.
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