Evolution of correlation structure of industrial indices of U.S. equity markets

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

Volumn 88, Issue 1, 2013, Pages

  Buccheri, Giuseppe ^a   Marmi, Stefano ^b,c   Mantegna, Rosario N ^d,e  

^a SCUOLA SUPERIORE DI CATANIA   (Italy)

^b SCUOLA NORMALE SUPERIORE   (Italy)

^c CNR   (Italy)

^d CENTRAL EUROPEAN UNIVERSITY   (Hungary)

^e UNIVERSITY OF PALERMO   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION MATRIX; CORRELATION STRUCTURE; EQUITY MARKETS; FAST DYNAMICS; INDUSTRY INDICES; MONTHLY TIME SCALE; SLOW DYNAMICS; SPECTRAL PROPERTIES;

COMMERCE; DYNAMICS; EIGENVALUES AND EIGENFUNCTIONS; TIME MEASUREMENT;

INDUSTRY;

EID: 84880632927     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.88.012806     Document Type: Article

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