| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480792 | Physica A: Statistical Mechanics and its Applications | 2011 | 6 Pages |
Abstract
⺠The mean value of correlation coefficients and the largest eigenvalue are good criteria for investigating correlation matrix stability. ⺠We investigated the correlation matrix stability of emerging and mature markets by the distribution mean value of correlation coefficients and RMT. ⺠We found there is good agreement between the results of RMT and the distribution of correlation coefficients under global perturbations. ⺠A comparison of two markets shows that the DJIA is more sensitive to perturbations than the TSE.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
A. Namaki, G.R. Jafari, R. Raei,