| Literature DB >> 11031663 |
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Abstract
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices reported recently are well understood from the model. It provides the connection between the spectral properties of the empirical correlation matrix and the structure of correlations in stock markets.Year: 2000 PMID: 11031663 DOI: 10.1103/physreve.61.5981
Source DB: PubMed Journal: Phys Rev E Stat Phys Plasmas Fluids Relat Interdiscip Topics ISSN: 1063-651X