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)

Recommendations

• Random Matrix Theory of Dynamical Cross Correlations in Financial Data
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• Cross- and Autocorrelation in Multi-Period Credit Portfolio Models
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Quantifying the dynamics of financial correlations
• Asymmetric multiscale detrended cross-correlation analysis of financial time series

Cited in

(20)

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

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5359672)