The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
Open accessAbstract
We use methods of random matrix theory to analyze the cross-correlation matrix $\mathbf{C}$ of stock price changes of the largest 1000 U.S. companies for the 2-year period 1994--1995. We find that the statistics of most of the eigenvalues in the spectrum of $\mathbf{C}$ agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find that $\mathbf{C}$ has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of $\mathbf{C}$ through their inverse participation ratio and find eigenvectors with large ratios at both edges of the eigenvalue spectrum---a situation reminiscent of localization theory results.
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Cited by
Random matrix approach to cross correlations in financial data
Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L. A. N., Guhr, T., & Stanley, H. E. (2002) · Physical Review E · doi:10.1103/physreve.65.066126 · Cited by 936
Self-citationPhysical approach to complex systems
Kwapień, J., & Drożdż, S. (2012) · Physics Reports · doi:10.1016/j.physrep.2012.01.007 · Cited by 517
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Network spectra for drug-target identification in complex diseases: new guns against old foes
Rai, A., Shinde, P., & Jalan, S. (2018) · Applied Network Science · doi:10.1007/s41109-018-0107-y · Cited by 12
Metadata
- Authors
- Plerou, V., Gopikrishnan, P., Rosenow, B., Nunes Amaral, L. A., & Stanley, H. E.
- Venue
- Physical Review Letters
- Publisher
- American Physical Society (APS)
- Published
- 1999-08-16
- Volume
- 83
- Issue
- 7
- Pages
- 1471-1474
- ISSN
- 0031-9007 (ISSN-L)
- 1079-7114
- OpenAlex
- W2135282243
- Cited by
- 1,017
- References
- 30
- FWCI
- 72.35
- Type
- journal article
- Language
- en
- Open access
- green
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- Plerou, V., Gopikrishnan, P., Rosenow, B., Nunes Amaral, L. A., & Stanley, H. E. (1999). Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series. Physical Review Letters. https://doi.org/10.1103/physrevlett.83.1471
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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