Random matrix theory analysis of cross correlations in financial markets

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 70, Issue 2 2, 2004, Pages

  Utsugi, Akihiko ^a   Ino, Kazusumi ^b   Oshikawa, Masaki ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; DATA HANDLING; EIGENVALUES AND EIGENFUNCTIONS; MATHEMATICAL MODELS; RANDOM PROCESSES; VECTORS;

CROSS CORRELATIONS; FINANCIAL MARKETS; RANDOM MATRIX THEORY (RMT); STOCKS;

MATRIX ALGEBRA;

EID: 42749105978     PISSN: 15393755     EISSN: None     Source Type: Journal    
DOI: 10.1103/PhysRevE.70.026110     Document Type: Article

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