Evolution of Cross-Correlation in Taiwan Stock Market
碩士 === 國立東華大學 === 應用物理研究所 === 97 === In this thesis, we use principal component analysis in combination with random matrix theory to study Taiwan stock market. We compute the yearly cross-correlation matrices constructed by 30-minute price returns of 124 stocks from 2001 to 2008 and analyze their ei...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36849237589224190965 |