Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
Year of publication: |
2004
|
---|---|
Authors: | Malevergne, Y. ; Sornette, D. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 331.2004, 3, p. 660-668
|
Publisher: |
Elsevier |
Subject: | Random matrix theory | Cross-correlation | Econophysics |
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