Collective behavior of stock price movements - A random matrix theory approach

Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 175-180

  Plerou, V ^a   Gopikrishnan, P ^a   Rosenow, B ^b   Amaral, L A N ^a   Stanley, H E ^a  

^a Boston University   (United States)

^b UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Collective phenomena; Financial time series; Random matrix theory

Indexed keywords

CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; FINANCE; MATRIX ALGEBRA; RELAXATION PROCESSES;

RANDOM MATRIX THEORY (RMT);

LARGE SCALE SYSTEMS;

EID: 0035471447     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00293-X     Document Type: Conference Paper

References (16)