Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT

This research systematically analyzes the behaviors of correlations among stock prices and the eigenvalues for correlation matrices by utilizing random matrix theory (RMT) for Chinese and US stock markets. Results suggest that most eigenvalues of both markets fall within the predicted distribution i...

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Detalles Bibliográficos
Autores principales: Tang, Yong, Xiong, Jason, Cheng, Zhitao, Zhuang, Yan, Li, Kunqi, Xie, Jingcong, Zhang, Yicheng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10606484/
https://www.ncbi.nlm.nih.gov/pubmed/37895581
http://dx.doi.org/10.3390/e25101460

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10606484/
https://www.ncbi.nlm.nih.gov/pubmed/37895581
http://dx.doi.org/10.3390/e25101460

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