Temporal evolution of financial-market correlations.
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
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- Physical review. E, Statistical, nonlinear, and soft matter physics
- 2 Pt 2
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