Structure of a financial cross-correlation matrix under attack

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 18, 2009, Pages 3851-3858

  Lim, Gyuchang ^a   Kim, SooYong ^a   Kim, Junghwan ^b   Kim, Pyungsoo ^b   Kang, Yoonjong ^b   Park, Sanghoon ^b   Park, Inho ^c   Park, Sang Bum ^d   Kim, Kyungsik ^e  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b Korea Science Academy   (South Korea)

^c SolarLight Ltd   (South Korea)

^d Hankuk Aviation University   (South Korea)

^e Pukyong National University   (South Korea)

Author keywords

Correlation matrix; Inverse participation ratio; Perturbation; Random matrix theory

Indexed keywords

COMMERCE; FINANCIAL MARKETS; INVERSE PROBLEMS; INVESTMENTS; RANDOM VARIABLES; TIME SERIES;

CORRELATION COEFFICIENT; CORRELATION MATRIX; CROSS CORRELATION MATRICES; GAUSSIAN DISTRIBUTED TIME SERIES; GLOBAL STRUCTURE; PARTICIPATION RATIOS; PERTURBATION; RANDOM MATRIX THEORY;

MATRIX ALGEBRA;

EID: 67649444197     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.05.018     Document Type: Article

References (25)

1. Johnson N.F., Jefferies P., and Hui P.M. Financial Market Complexity (2003), Oxford University Press
2. Mantegna R.N., and Stanley H.E. An Introduction to Econophysics (2000), Cambridge University Press, Cambridge
3. Plerou V., Gopikrishnan P., Amaral L.A.N., Meyer M., and Stanley H.E. Phys. Rev. E 60 (1999) 6519
4. Plerou V., Gopikrishnan P., Rosenow H., Amaral L.A.N., Guhr T., and Stanley H.E. Phys. Rev. E 65 (2002) 066126
5. Plerou V., Gopikrishnan P., Rosenow H., Amaral L.A.N., and Stanley H.E. Phys. Rev. Lett. 83 (1999) 1471
6. Laloux L., Cizeau P., Bouchaud J.-P., and Potters M. Phys. Rev. Lett. 83 (1999) 1467
7. Bouchaud J.P., and Potters M. Theory of Financial Risk (2000), Cambridge University Press
8. Kim D.H., and Jeong H. Phys. Rev. E 72 (2005) 046133
9. Noh J.D. Phys. Rev. E 61 (2000) 5981
10. Gopikrishnan P., Rosenow B., Plerou V., and Stanley H.E. Phys. Rev. E 64 (2001) 035106
11. Utsugi A., Ino K., and Oshikawa M. Phys. Rev. E 70 (2004) 026110
12. Kahneman D., and Tversky A. Econometrica 47 (1979) 263
13. Lux T., and Marchesi M. Nature (London) 397 (1999) 498
14. Markowitz H.M. J. Finance 7 (1952) 77
15. Lintner J. Rev. Econ. Stat. 47 (1965) 13
16. Mossin J. Econometrica 34 (1966) 768
17. Sengupta A.M., and Mitra P.P. Phys. Rev. E 60 (1999) 3389
18. Metha M.L. Random Matrices (1991), Academic Press
19. Guhr T., Müller-Groeling A., and Weidenmüller H.A. Phys. Rep. 299 (1998) 190
20. Fyodorov Y.V., and Mirlin A.D. Phys. Rev. Lett. 69 (1992) 1093
21. Lee P.A., and Ramakrishnan T.V. Rev. Modern Phys. 57 (1985) 287
22. Albert R., Jeong H., and Barabasi A.L. Nature 406 (2000) 378
23. Albert R., and Barabasi A.L. Rev. Modern Phys. 74 (2002) 47
24. Dorogovtsev S.N., and Mendes J.F.F. Evolution of Networks (2003), Oxford University Press
25. Sharpe W.F. J. Finance 19 (1964) 425