Universal correlations and power-law tails in financial covariance matrices
Year of publication: |
2010
|
---|---|
Authors: | Akemann, G. ; Fischmann, J. ; Vivo, P. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 13, p. 2566-2579
|
Publisher: |
Elsevier |
Subject: | Random matrix | Financial covariances | Local statistics | Power law | Tracy–Widom | Wigner’s surmise |
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