Characteristics of Principal Components in Stock Price Correlation
The following methods are used to analyze correlations among stock returns. 1) The meaningful part of the correlation is obtained by applying random matrix theory to the equal-time cross-correlation matrix of assets returns. 2) Null-model randomness is implemented via rotational random shuffling. 3)...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2021-04-01
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| Series: | Frontiers in Physics |
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| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2021.602944/full |