A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES-Reference-Cited by-同舟云学术

A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES

Published:2008-10 Issue:05 Volume:11 Page:655-668
ISSN:0219-5259
Container-title:Advances in Complex Systems
language:en
Short-container-title:Advs. Complex Syst.

Author:

COELHO RICARDO¹,RICHMOND PETER¹,HUTZLER STEFAN¹,LUCEY BRIAN²

Affiliation:

1. School of Physics, Trinity College Dublin, Dublin 2, Ireland

2. Institute for International Integration Studies and School of Business, Trinity College Dublin, Dublin 2, Ireland

Abstract

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to separate stocks according to their geographical location, provided that they are not strongly correlated. These results are compared with the results from random time series created using the market model, where the main factor is the mean of returns of the stocks of each sector.

Publisher

World Scientific Pub Co Pte Lt

Subject

Control and Systems Engineering

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219525908001970

Reference13 articles.

1. Theory of Financial Risk and Derivative Pricing

2. Noise Dressing of Financial Correlation Matrices

3. Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robustness and sensitivity of some wavelet multifractal models in fractal data modelling;Expert Systems;2023-04-16

2. A Random-Matrix-Theory-Based Analysis of the Brazilian Stock Market During the 2008 Financial Crisis and Asian Crisis and Temporal Neighborhoods;Fluctuation and Noise Letters;2022-09-14

3. Diffusion entropy analysis and random matrix analysis of the Indian stock market;Physica A: Statistical Mechanics and its Applications;2020-12

4. Frequently used symbols;Econophysics and Physical Economics;2013-09-01

5. Preface;Econophysics and Physical Economics;2013-09-01