- Tytuł:
- Alternative Random Matrix Approach in Analysis of Correlations in Financial Data
- Autorzy:
-
Sawa, M.
Grech, D. - Powiązania:
- https://bibliotekanauki.pl/articles/1388194.pdf
- Data publikacji:
- 2015-03
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
05.45.Tp
02.60.-x
89.20.-a
89.75.-k
89.65.Gh
89.75.Fb - Opis:
- We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
- Źródło:
-
Acta Physica Polonica A; 2015, 127, 3A; A-118-A-122
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł