Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation
The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse the mean market correlation of the S&P500, which corresponds to the main market mode in principle component analysis....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/25/9/1257 |