Literature DB >> 11031663

Model for correlations in stock markets

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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


  3 in total

1.  Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market.

Authors:  Dror Y Kenett; Michele Tumminello; Asaf Madi; Gitit Gur-Gershgoren; Rosario N Mantegna; Eshel Ben-Jacob
Journal:  PLoS One       Date:  2010-12-20       Impact factor: 3.240

2.  Systemic risk and spatiotemporal dynamics of the US housing market.

Authors:  Hao Meng; Wen-Jie Xie; Zhi-Qiang Jiang; Boris Podobnik; Wei-Xing Zhou; H Eugene Stanley
Journal:  Sci Rep       Date:  2014-01-13       Impact factor: 4.379

3.  A unified framework for inferring the multi-scale organization of chromatin domains from Hi-C.

Authors:  Ji Hyun Bak; Min Hyeok Kim; Lei Liu; Changbong Hyeon
Journal:  PLoS Comput Biol       Date:  2021-03-16       Impact factor: 4.475

  3 in total

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