Universal and nonuniversal properties of cross correlations in financial time series

Physical Review Letters

Volumn 83, Issue 7, 1999, Pages 1471-1474

  Plerou, Vasiliki ^a,b   Gopikrishnan, Parameswaran ^a   Rosenow, Bernd ^c   Amaral, Luís A Nunes ^a   Stanley, H Eugene ^a  

^a USA   (United States)

^b BOSTON COLLEGE   (United States)

^c UNIVERSITY OF COLOGNE   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000656722     PISSN: 00319007     EISSN: 10797114     Source Type: Journal    
DOI: 10.1103/PhysRevLett.83.1471     Document Type: Article

References (50)

1. Econophysics: An Emerging Science, I. Kondor and J. Kertész (Kluwer, Dordrecht, 1999);
2. J.-P. Bouchaud and M. Potters, Theorie des Risques Financiéres (Alea-Saclay, Eyrolles, 1997);
3. R. N. Mantegna and H. E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, England, 1999).
4. E. J. Elton and M. J. Gruber, Modern Portfolio Theory and Investment Analysis (J. Wiley, New York, 1995).
5. T. Lux and M. Marchesi, Nature (London). 297, 498 (1999).
6. J.-P. Bouchaud and R. Cont, Eur. Phys. J. B. 6, 543 (1998);
7. M. Potters, R. Cont, and J.-P. Bouchaud, Europhys. Lett. 41, 239 (1998);
8. J.-P. Bouchaud and D. Sornette, J. Phys. I (France). 4, 863 (1994).
9. H. Takayasu, A. H. Sato, and M. Takayasu, Phys. Rev. Lett. 79, 966 (1997).
10. E. Egenter, T. Lux, and D. Stauffer, Physica (Amsterdam). 268A, 250 (1999);
11. D. Chowdhury and D. Stauffer, Eur. Phys. J. B. 8, 477 (1999).
12. R. N. Mantegna and H. E. Stanley, Nature (London). 376, 46 (1995);
13. Y. Liu, et al., Physica (Amsterdam). 245A, 437 (1997);
14. P. Cizeau, et al., Physica (Amsterdam). 245A, 441 (1997);
15. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, and H. E. Stanley, Phys. Rev. E (to be published);
16. M. M. Dacorogna, U. A. Müller, R. J. Nagler, R. B. Olsen, and O. V. Pictet, J. Int. Money Fin. 12, 413 (1993);
17. L. Kullmann and J. Kertész, Physica (Amsterdam). 269A, 98 (1999).
18. T. Lux, Appl. Fin. Econ. 6, 463 (1996);
19. P. Gopikrishnan, M. Meyer, L. A. N. Amaral, and H. E. Stanley, Eur. Phys. J. B. 3, 139 (1998);
20. P. Gopikrishnan, V. Plerou, L. A. N. Amaral, M. Meyer, and H. E. Stanley, cond-mat/9905305;
21. V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer, and H. E. Stanley, cond-mat/9907161;
22. U. A. Müller, M. M. Dacorogna, R. B. Olsen, O. V. Pictet, M. Schwarz, and C. Morgenegg, J. Bank. Fin. 14, 1189 (1990).
23. M. H. R. Stanley, L. A. N. Amaral, S. V. Buldyrev, S. Havlin, H. Leschhorn, P. Maass, M. A. Salinger, and H. E. Stanley, Nature (London). 379, 804 (1996);
24. H. Takayasu and K. Okuyama, Fractals. 6, 67 (1998);
25. L. A. N. Amaral, S. V. Buldyrev, S. Havlin, M. A. Salinger, and H. E. Stanley, Phys. Rev. Lett. 80, 1385 (1998);
26. Y. Lee, L. A. N. Amaral, D. Canning, M. Meyer, and H. E. Stanley, Phys. Rev. Lett. 81, 3275 (1998);
27. V. Plerou, L. A. N. Amaral, M. Meyer, P. Gopikrishnan, and H. E. Stanley, Nature (London). 400, 433 (1999).
28. A. Johansen and D. Sornette, Eur. Phys. J. B. 9, 167 (1999);
29. A. Johansen, D. Sornette, Physica (Amsterdam). 261A, 581 (1998);
30. A. Arnoedo, J.-F. Muzy, and D. Sornette, Eur. Phys. J. B. 2, 277 (1998).
31. L. Laloux, et al., Phys. Rev. Lett. 83, 1467 (1999);
32. S. Galluccio, et al., Physica (Amsterdam). 259A, 449 (1998).
33. R. N. Mantegna, cond-mat/9802256.
34. M. Levy, H. Levy, and S. Solomon, Econ. Lett. 45, 103 (1994).
35. S. Ghashghaie, et al., Nature (London). 381, 767 (1996);
36. R. N. Mantegna and H. E. Stanley, Nature (London). 383, 587 (1996);
37. R. N. Mantegna, H. E. Stanley, Physica (Amsterdam). 239A, 255 (1997).
38. N. Vandewalle and M. Ausloos, Int. J. Mod. Phys. C. 9, 711 (1998);
39. N. Vandewalle, M. Ausloos, Eur. Phys. J. B. 4, 257 (1998).
40. E. P. Wigner, Ann. Math. 53, 36 (1951).
41. T. Guhr, A. Müller-Groeling, and H. A. Weidenmüller, Phys. Rep. 299, 190 (1998);
42. M. L. Mehta, Random Matrices (Academic Press, Boston, 1991).
43. T. A. Brody, et al., Rev. Mod. Phys. 53, 385 (1981).
44. A. M. Sengupta and P. P. Mitra, cond-mat/9709283.
45. H. Bruus and J.-C. Anglés d’Auriac, Europhys. Lett. 35, 321 (1996).
46. Y. V. Fyodorov and A. D. Mirlin, Phys. Rev. Lett. 69, 1093 (1992);
47. Phys. Rev. Lett, Y. V. Fyodorov, A. D. Mirlin, 71, 412 (1993);
48. A. D. Mirlin and Y. V. Fyodorov, J. Phys. A. 26, L551 (1993).
49. P. A. Lee and T. V. Ramakrishnan, Rev. Mod. Phys. 57, 287 (1985).
50. F. Wegner and R. Oppermann, Z. Phys. B. 34, 327 (1979).