Publication Date:
2013-09-11
Description:
Author(s): Vinayak, Rudi Schäfer, and Thomas H. Seligman Correlation matrices are a standard tool in the analysis of the time evolution of complex systems in general and financial markets in particular. Yet most analysis assume stationarity of the underlying time series. This tends to be an assumption of varying and often dubious validity. The validity of... [Phys. Rev. E 88, 032115] Published Tue Sep 10, 2013
Keywords:
Statistical Physics
Print ISSN:
1539-3755
Electronic ISSN:
1550-2376
Topics:
Physics