APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical Structures....
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University
2016-07-01
|
| Series: | International Journal of Mathematical Modelling & Computations |
| Subjects: | |
| Online Access: | http://ijm2c.iauctb.ac.ir/article_523828_5f000bf7ebc56dd5aa2dc2ba58c0bad9.pdf |