Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series (Q3605232)
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scientific article; zbMATH DE number 5509832
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| English | Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series |
scientific article; zbMATH DE number 5509832 |
Statements
Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series (English)
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23 February 2009
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stochastic analysis
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adaptive behaviour
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agent based modelling
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asset pricing
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complexity in economics
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financial time series
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0.9048938751220704
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0.8427528142929077
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0.8132842183113098
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0.7878621816635132
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0.78743976354599
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