Plerou, V.; Gopikrishnan, P.; Rosenow, B.; Amaral, L.A.N.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 175-180
Cij are the correlation coefficients of price fluctuations of stock i and j—against a random matrix having the same …We review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random … matrix theory (RMT), developed in physics to describe the energy levels of complex systems. RMT makes predictions for …