Asymmetric matrices in an analysis of financial correlations

Acta Physica Polonica B

Volumn 37, Issue 11, 2006, Pages 3039-3048

  Kwapien J ^a   Drozdz, S ^a,b   Gorski A Z ^a   Oswiecimka P ^a  

^a INSTITUTE OF NUCLEAR PHYSICS   (Poland)

^b UNIVERSITY OF RZESZÓW   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTATIONAL METHODS; CORRELATION METHODS; ECONOMICS; EIGENVALUES AND EIGENFUNCTIONS; FUNCTIONS; INFORMATION MANAGEMENT;

CORRELATED SYSTEMS; CORRELATION MATRICES; CORRELATION STRUCTURE; DEPENDENCIES;

MATRIX ALGEBRA;

EID: 33845546128     PISSN: 05874254     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (27)

1. R.N. Mantegna, Eur. Phys. J. B11, 193 (1999).
2. G. Bonanno, N. Vandewalle, R.N. Mantegna, Phys. Rev. E62, R7615 (2000).
3. L. Giada, M. Marsili, Phys. Rev. E63, 061101 (2001).
4. V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, T. Guhr, H.E. Stanley, Phys. Rev. E65, 066126 (2002).
5. J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, A. Kanto, Phys. Rev. E68, 056110 (2003).
6. T. Di Matteo, T. Aste, R.N. Mantegna, Physica A 339, 181 (2004).
7. D.-H. Kim, H. Jeong, Phys. Rev. E72, 046133 (2005).
8. T. Mizuno, H. Takayasu, M. Takayasu, Physica A 364, 336 (2006).
9. R. Roll, S.A. Ross, J. Finance 35, 121 (1980).
10. J.-D. Noh, Phys. Rev. E61, 5981 (2000).
11. L. Laloux, P. Cizeau, J.-P. Bouchaud, M. Potters, Phys. Rev. Lett. 83, 1467 (1999);
12. V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999).
13. J. Kwapień, S. Drożdż, P. Oświȩcimka, Physica A 359, 589 (2006).
14. G. Bonanno, F. Lillo, R.N. Mantegna, Quant. Finance 1, 96 (2001).
15. A.Z. Górski, S. Drożdż, J. Kwapień, P. Oświȩcimka, Acta. Phys. Pol. B 37, XXXX (2006) these proceedings.
16. J. Ginibre, J. Math. Phys. 6, 440 (1965).
17. M. Timme, F. Wolf, T. Geisel, Phys. Rev. Lett. 92, 074101 (2004).
18. Y. Fyodorov, B. Khoruzhenko, H.-J. Sommers, Phys. Rev. Lett. 79, 557 (1997).
19. M. Stephanov, Phys. Rev. Lett. 76, 4472 (1996).
20. G. Akemann, T. Wettig, Phys. Rev. Lett.,92, 102002 (2004).
21. J. Kwapień, S. Drożdż, A.A. Ioannides, Phys. Rev. E62, 5557 (2000).
22. H.-J. Sommers, A. Crisanti, H. Sompolinsky, Y. Stein, Phys. Rev. Lett. 60, 1895 (1988).
23. A. Edelman, E. Kostlan, M. Shub, J. Am. Math. Soc. 7, 247 (1994).
24. E. Kanzieper, G. Akemann, Phys. Rev. Lett. 95, 230201 (2005).
25. http://www.taq.com (data from NYSE) and H. Goeppl, Karlsruher Kapitalmarktdatenbank (KKMDB), Institut für Entscheidungstheorie u. Unternehmensforschung, Universität Karlsruhe (TH) (data from Deutsche Börse).
26. S. Drożdż, A.Z. Górski, F. Ruf, J. Speth, Physica A 287, 440 (2000).
27. B. Tóth, J. Kertész, Physica A 360, 505 (2006).