SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 144-153

Quantifying the dynamics of financial correlations

(5) Drozdz, S a,b Kwapien J a Grummer F b Ruf, F c Speth, J b,d

a INSTITUTE OF NUCLEAR PHYSICS (Poland)

b FORSCHUNGSZENTRUM JÜLICH (Germany)

c West LB International SA (Luxembourg)

d UNIVERSITY OF ADELAIDE (Australia)

Author keywords

Cross correlations; Econophysics; Random matrices; Return distributions

Indexed keywords

CORRELATION METHODS; ECONOMICS; PROBABILITY DENSITY FUNCTION;

FINANCIAL CORRELATIONS;

FINANCE;

EID: 0035471310 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4371(01)00289-8 Document Type: Conference Paper

Times cited : (48)

References (25)

1
- 18344388346
- (1999) Phys. Rev. Lett. , vol.83 , pp. 1467
- Laloux, L.¹ Cizeau, P.² Bouchaud, J.-P.³ Potters, M.⁴

2
- 0000656722
- (1999) Phys. Rev. Lett. , vol.83 , pp. 1471
- Plerou, V.¹ Gopikrishnan, P.² Rosenow, B.³ Amaral, L.A.N.⁴ Stanley, H.E.⁵

3
- 0342936408
- (2000) Physica A , vol.287 , pp. 440
- Drozdz, S.¹ Grümmer, F.² Górski, A.Z.³ Ruf, F.⁴ Speth, J.⁵

4
- 0000119298
- (1999) Eur. Phys. J. B , vol.11 , pp. 193
- Mantegna, R.N.¹

5
- 0342936410
- (2000) Physica A , vol.287 , pp. 412
- Kullmann, L.¹ Kertész, J.² Mantegna, R.N.³

6
- 0035336816
- (2001) Physica A , vol.294 , pp. 226
- Drozdz, S.¹ Grümmer, F.² Ruf, F.³ Speth, J.⁴

7
- 0003572578
- Wiley, New York
- (1959) Portfolio Selection: Efficient Diversification of Investments
- Markowitz, H.¹

8
- 0003969018
- Wiley, New York
- (1995) Modern Portfolio Theory and Investment Analysis
- Elton, E.J.¹ Gruber, M.J.²

9
- 0001973710
- (1951) Ann. Math. , vol.53 , pp. 36
- Wigner, E.P.¹

10
- 0004163930
- Academic Press, Boston
- (1999) Random Matrices
- Mehta, M.L.¹

11
- 0032046588
- (1998) Phys. Rev. E , vol.57 , pp. 4016
- Drozdz, S.¹ Nishizaki, S.² Speth, J.³ Wójcik, M.⁴

12
- 4243788056
- arXiv:nucl-th/0007045
- On the origin of order from random two-body interactions
- Drozdz, S.¹ Wójcik, M.²

13
- 0003963721
- Princeton University Press, Princeton, NJ
- (1997) The Econometrics of Financial Markets
- Campbell, J.Y.¹ Lo, A.W.² Craig MacKinley, A.³

14
- 0034502119
- (2000) Physica A , vol.287 , pp. 339
- Stanley, H.E.¹ Gopikrishnan, P.² Plerou, V.³ Amaral, L.A.N.⁴

15
- 33748848380
- (1996) J. Phys. I France , vol.6 , pp. 167
- Sornette, D.¹ Johansen, A.² Bouchaud, J.-P.³

16
- 0001609232
- (1996) Int. J. Mod. Phys. B , vol.10 , pp. 3737
- Feigenbaum, J.A.¹ Freund, P.G.O.²

17
- 0000607890
- (1999) Eur. Phys. J. B , vol.10 , pp. 589
- Drozdz, S.¹ Ruf, F.² Speth, J.³ Wójcik, M.⁴

18
- 0004303182
- Institut für Entscheidungstheorie u. Unternehmensforschung, Universität Karlsruhe (TH)
- Data from Karlsruher Kapitalmarktdatenbank (KKMDB)
- Goeppl, H.¹

19
- 0034287465
- (2000) Phys. Rev. E , vol.62 , pp. 5557
- Kwapień, J.¹ Drozdz, S.² Ioannides, A.A.³

20
- 0000324960
- (1988) SIAM J. Matrix Anal. Appl. , vol.9 , pp. 543
- Edelman, A.¹

21
- 0000249632
- (1999) Phys. Rev. E , vol.60 , pp. 3389
- Sengupta, A.M.¹ Mitra, P.P.²

22
- 4243762764
- (1994) Phys. Rev. E , vol.57 , pp. 1810
- Cizeau, P.¹ Bouchaud, J.-P.²

23
- 0002659554
- arXiv:cond-mat/0011451
- Free Random Levy Matrices
- Burda, Z.¹ Janik, R.A.² Jurkiewicz, J.³ Nowak, M.A.⁴ Papp, G.⁵ Zahed, I.⁶

24
- 0000448397
- (1998) Phys. Rep. , vol.297 , pp. 239
- Sornette, D.¹

25
- 0003688207
- University Press, Cambridge
- (2000) An Introduction to Econophysics: Correlations and Complexity in Finance
- Mantegna, R.N.¹ Eugene Stanley, H.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.