Random magnets and correlations of stock price fluctuations

DOI10.1016/S0378-4371(02)01049-XzbMATH Open1001.91026OpenAlexW1983389736MaRDI QIDQ1850397FDOQ1850397

Authors: B. Rosenow, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley 

Publication date: 3 December 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01049-x

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zbMATH Keywords

risk reductionoptimal investment strategieshighly-correlated eigenmode time series

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

Cites Work

• Introduction to Econophysics
• On a class of analytic functions from the quantum theory of collisions
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Title not available (Why is that?)
• Stable infinite variance fluctuations in randomly amplified Langevin systems

Cited In (7)

• The convergence of European business cycles 1978-2000
• Random matrix application to correlations amongst the volatility of assets
• Economic fluctuations and statistical physics: the puzzle of large fluctuations
• Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
• Hidden noise structure and random matrix models of stock correlations
• The backbone of the financial interaction network using a maximum entropy distribution
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

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