APPLICATION OF RANDOM MATRIX THEORY TO STUDY CROSS-CORRELATIONS OF STOCK PRICES

DOI10.1142/S0219024900000267MaRDI QIDQ4521263zbMATH OpenOpenAlexFDO

Authors Luis A. Nunes Amaral, B. Rosenow, Vasiliki Plerou, Parameswaran Gopikrishnan, H. Eugene Stanley

Publication date 5 July 2001

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000267

zbMATH Keywords

cross-correlationsrandom matrix theoryriskstock portfolio

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites work

• On a class of analytic functions from the quantum theory of collisions

Cited in

(5)

• Implied basket correlation dynamics
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• Macroeconomic and financial networks: review of some recent developments in parametric and non-parametric approaches
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• Non-Hermitean Wishart random matrices (I)

This page was built for publication: APPLICATION OF RANDOM MATRIX THEORY TO STUDY CROSS-CORRELATIONS OF STOCK PRICES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4521263)