Plerou, V.; Gopikrishnan, P.; Rosenow, B.; Amaral, L.A.N.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 175-180
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 “universal” properties that do not depend on the...