RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
We present here assessment of the latent market information embedded in the raw, affinity (normalized), and partial correlations. We compared the Zipf plot, spectrum, and distribution of the eigenvalues fo...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2009-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2009/249370 |
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