Reconstructing an economic space from a market metric

DOI10.1016/S0378-4371(03)00014-1zbMath1058.91027arXivcond-mat/0211108WikidataQ56930914 ScholiaQ56930914MaRDI QIDQ1873906

Tanya Araújo, R. Vilela Mendes, Francisco Louçã

Publication date: 21 May 2003

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0211108

zbMATH Keywords

factor-model term numberreduced subspacereturn correlation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (6)

A fractional calculus interpretation of the fractional volatility model ⋮ Cluster analysis for portfolio optimization ⋮ OPINION DYNAMICS AND COMMUNICATION NETWORKS ⋮ The seismography of crashes in financial markets ⋮ Topological energy of the distance matrix ⋮ The geometry of crashes. A measure of the dynamics of stock market crises

Cites Work

• The geometry of graphs and some of its algorithmic applications
• A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS
• An Intertemporal Capital Asset Pricing Model
• Introduction to Econophysics

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