Temporal evolution of financial-market correlations

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the pr...

Full description

Bibliographic Details
Main Authors: Fenn, D, Porter, M, Williams, S, McDonald, M, Johnson, N, Jones, N
Format: Journal article
Language:English
Published: 2011