Random magnets and correlations of stock price fluctuations

Physica A: Statistical Mechanics and its Applications

Volumn 314, Issue 1-4, 2002, Pages 762-767

  Rosenow, Bernd ^a   Gopikrishnan, Parameswaran ^b,c   Plerou, Vasiliki ^b   Stanley, H Eugene ^b  

^a UNIVERSITY OF COLOGNE   (Germany)

^b Boston University   (United States)

^c Goldman Sachs Group   (United States)

Author keywords

Cross correlations; Econophysics; Random Magnets

Indexed keywords

CORRELATION METHODS; FERROMAGNETISM; INVESTMENTS; MAGNETIC COUPLINGS; RANDOM PROCESSES; RISK ASSESSMENT;

PRICE FLUCTUATIONS;

ECONOMICS;

EID: 0036944965     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01049-X     Document Type: Conference Paper

References (20)

1. I. Kondor, J. Kertész (Eds.), Econophysics: An Emerging Science, Kluwer, Dordrecht, 1999.
2. Bouchaud J.-P., Potters M. Theory of Financial Risk. 2000;Cambridge University Press, Cambridge.
3. Mantegnam R.N., Stanley H.E. An Introduction to Econophysics. 2000;Cambridge University Press, Cambridge.
4. Voit J. The Statistical Mechanics of Financial Markets. 2001;Springer, Berlin.
5. Wigner E.P. Ann. Math. 53:1951;36.
6. Guhr T., Müller-Groeling A., Weidenmüller H.A. Phys. Rep. 299:1998;189.
7. Laloux L., Cizeau P., Bouchaud J.-P., Potters M. Phys. Rev. Lett. 83:1999;1469.
8. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., Stanley H.E. Phys. Rev. Lett. 83:1999;1471.
9. Gopikrishnan P., Rosenow B., Plerou V., Stanley H.E. Phys. Rev. E. 64:2001;035106(R) see also cond-mat/0011145.
10. Drozdz S., Gruemmer F., Ruf F., Speth J. Physica A. 287:2000;440.
11. Noh J.D. Phys. Rev. E. 61:2000;5981.
12. Z. Burda, J. Jurkiewicz, M.A. Nowak, G. Papp, I. Zahed, cond-mat/0103108.
13. P. Gopikrishnan, V. Plerou, B. Rosenow, L.A.N. Amaral, T. Guhr, H.E. Stanley, Phys. Rev. E, in press (2002) cond-mat/0108023.
14. Takayasu H., Sato A.-H., Takayasu M. Phys. Rev. Lett. 79:1997;966.
15. Peng C.-K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., Goldberger A.L. Phys. Rev. E. 49:1994;1685.
16. Elton E.J., Gruber M.J. Modern Portfolio Theory and Investment Analysis. 1995;Wiley, New York.
17. Laloux L., Cizeau P., Potters M., Bouchaud J.-P. Int. J. Theor. Appl. Finance. 3:2000;391.
18. S. Pafka, I. Kondor, cond-mat/0111503.
19. B. Rosenow, V. Plerou, P. Gopikrishnan, H.E. Stanley, Europhys. Lett., in press (2002) cond-mat/0111537.
20. Galluccio S., Bouchaud J.-P., Potters M. Physica A. 259:1998;449.