Dynamics of cross-correlations in the stock market

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 241-246

  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 correlation; Econophysics; Portfolio theory

Indexed keywords

CORRELATION METHODS; ECONOMICS; EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; RISK ASSESSMENT; RISKS; SPURIOUS SIGNAL NOISE; TIME SERIES ANALYSIS;

ECONOPHYSICS; PORTFOLIO THEORY; STOCK MARKETS;

INVESTMENTS;

EID: 0038237660     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(03)00005-0     Document Type: Conference Paper

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