scientific article; zbMATH DE number 6781489

MaRDI QIDQ5359672zbMATH OpenFDO

Authors S. Drożdż, J. Kwapień, Paweł Oświȩcimka

Publication date 27 September 2017

Full work available at URL https://arxiv.org/abs/0711.0644, http://www.actaphys.uj.edu.pl/fulltext?series=Reg&vol=38&page=4027

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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(20)

• Decomposing the stock market intraday dynamics
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Dynamics of cross-correlations in the stock market
• Hidden noise structure and random matrix models of stock correlations
• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
• A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES
• SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• A generalization of random matrix theory and its application to statistical physics
• High-frequency cross-correlation in a set of stocks
• The market effect on Malaysian stock correlation network
• Random matrix application to correlations amongst the volatility of assets
• Complex market dynamics in the light of random matrix theory
• Uncovering the dynamics of correlation structures relative to the collective market motion
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model
• Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
• Quantifying the dynamics of financial correlations
• Measures of globalization based on cross-correlations of world financial indices
• Correlation and volatility in an Indian stock market: A random matrix approach

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