Quantifying the dynamics of financial correlations
From MaRDI portal
Publication:5947873
DOI10.1016/S0378-4371(01)00289-8zbMath0974.91520arXivcond-mat/0102402MaRDI QIDQ5947873
S. Drożdż, F. Grümmer, F. Ruf, J. Speth, J. Kwapień
Publication date: 23 October 2001
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0102402
91B84: Economic time series analysis
Related Items
Nature of order from random two-body interactions, Cluster analysis for portfolio optimization, Multi-scale correlations in different futures markets, Alternation of different fluctuation regimes in the stock market dynamics, The convergence of European business cycles 1978-2000, Decomposing the stock market intraday dynamics, Financial multifractality and its subtleties: An example of DAX, Identifying complexity by means of matrices, Dynamic instability in generic model of multi-assets markets, Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case, SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
Cites Work
- Unnamed Item
- Unnamed Item
- On a class of analytic functions from the quantum theory of collisions
- DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
- Eigenvalues and Condition Numbers of Random Matrices
- Introduction to Econophysics
- Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
