Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 17, 2013, Pages 3715-3730

  Wang, Gang Jin ^a   Xie, Chi ^a   Chen, Shou ^a   Yang, Jiao Jiao ^a   Yang, Ming Yan ^a  

^a HUNAN UNIVERSITY   (China)

Author keywords

Cross correlations; Detrended Cross correlation coefficient; Econophysics; Pearson's correlation coefficient; Random matrix theory; US stock market

Indexed keywords

COMMERCE; CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; FINANCIAL MARKETS; INVERSE PROBLEMS; RANDOM VARIABLES; RISK MANAGEMENT;

CROSS CORRELATIONS; CROSS-CORRELATION COEFFICIENT; ECONOPHYSICSS; PEARSON'S CORRELATION COEFFICIENTS; RANDOM MATRIX THEORY;

MATRIX ALGEBRA;

EID: 84878393041     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.04.027     Document Type: Article

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