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2015 | 127 | 3A | A-118-A-122
Article title

Alternative Random Matrix Approach in Analysis of Correlations in Financial Data

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EN
Abstracts
EN
We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
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Year
Volume
127
Issue
3A
Pages
A-118-A-122
Physical description
Dates
published
2015-03
References
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv127n3a21kz
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