Spectral analysis of time-dependent market-adjusted return correlation matrix

DOI10.1016/J.PHYSA.2018.02.091OpenAlexW3124911213MaRDI QIDQ2149233FDOQ2149233

Authors: Michael J. Bommarito, Ahmet Duran 

Publication date: 28 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.091

zbMATH Keywords

maximum eigenvaluemulti-modal distributionmarket-adjusted returnreturn correlation matrix

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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