Publication Date:
2011-08-09
Description:
Author(s): Daniel J. Fenn, Mason A. Porter, Stacy Williams, Mark McDonald, Neil F. Johnson, and Nick S. Jones We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the pr... [Phys. Rev. E 84, 026109] Published Mon Aug 08, 2011
Keywords:
Interdisciplinary physics
Print ISSN:
1539-3755
Electronic ISSN:
1550-2376
Topics:
Physics
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