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

DOI10.1016/J.PHYSA.2018.02.091MaRDI QIDQ2149233zbMATH OpenOpenAlexFDO

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

market-adjusted returnmaximum eigenvaluemulti-modal distributionreturn correlation matrix

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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