| ชื่อเรื่อง | : | Random matrix theory and a definition of correlations in financial markets |
| นักวิจัย | : | Korotkikh, Galina Alexandra. |
| คำค้น | : | TBA. , TBA. , TBA. , Random matrices. , Eigenvalues. , Money market. , Portfolio optimization -- Random matrix theory -- variance-covariance matrix -- correlations -- Eigenvalue and eigenvector distributions -- Symmetry |
| หน่วยงาน | : | Central Queensland University, Australia |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2545 |
| อ้างอิง | : | http://hdl.cqu.edu.au/10018/27661 , cqu:4239 |
| ที่มา | : | Korotkikh, G A 2002, 'Random matrix theory and a definition of correlations in financial markets', Financial Engineering, E-Commerce and Supply Chain., Kluwer Academic Publishers, Dordrecht, Netherlands. |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | Financial engineering, e-commerce, and supply chain / edited by Panos M. Pardalos & Vassilis K. Tsitsiringos. Dordrecht, Netherlands. : Kluwer Academic Publishers, 2002. Chapter 11, p. 175-187 396 pages 21 chapters 1402006403 , ACQUIRE [electronic resource] : Central Queensland University Institutional Repository. |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | Recent results based on Random Matrix Theory (RMT) suggest that commonly used methods to find correlations in financial markets are not adequate. They suggest that stocks may have collective behaviour that cannot be described by the classical approach. This raises doubts on the blind use of empirical variance-covariance matrices and needs a new understanding of correlations that goes beyone the linear one. This motivates us to propose a definition of correlations to describe and explain this collective behaviour. Computational experiments in the paper show that these correlations reproduce the character of the RTM results and revela themselves by ysmmetries in eigenvector distributions of variance-covariance matrix. |
| บรรณานุกรม | : |
Korotkikh, Galina Alexandra. . (2545). Random matrix theory and a definition of correlations in financial markets.
กรุงเทพมหานคร : Central Queensland University, Australia. Korotkikh, Galina Alexandra. . 2545. "Random matrix theory and a definition of correlations in financial markets".
กรุงเทพมหานคร : Central Queensland University, Australia. Korotkikh, Galina Alexandra. . "Random matrix theory and a definition of correlations in financial markets."
กรุงเทพมหานคร : Central Queensland University, Australia, 2545. Print. Korotkikh, Galina Alexandra. . Random matrix theory and a definition of correlations in financial markets. กรุงเทพมหานคร : Central Queensland University, Australia; 2545.
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