Study on cross-correlation in financial time series by random matrix techniques
碩士 === 國立東華大學 === 應用物理研究所 === 95 === We use daily returns of 33 international indexes in 2000 - 2005 to calculate the cross-correlation matrix and its eigenvalues and eigenvectors. In the first eigenvector, i.e. the market mode, the component for Taiwan stock market is larger than the components fo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45535386064159846330 |