Signal and noise in financial correlation matrices
Year of publication: |
2004
|
---|---|
Authors: | Burda, Zdzisław ; Jurkiewicz, Jerzy |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 67-72
|
Publisher: |
Elsevier |
Subject: | Random matrix theory | Correlation matrix | Eigenvalue spectrum |
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