Plerou, V.; Gopikrishnan, P.; Rosenow, B.; Amaral, L. A. N. - arXiv.org - 2001
We analyze cross-correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of 1000 US stocks for the 2-yr period 1994--95 (ii) 30-min...