Stanley, H. Eugene; Nunes Amaral, Luis A.; Gabaix, Xavier; … - In: Physica A: Statistical Mechanics and its Applications 302 (2001) 1, pp. 126-137
collective behavior among stocks by applying the conceptual framework of random matrix theory (RMT). RMT makes predictions for … Cij are the correlation coefficients of price fluctuations of stock i and j—against a random matrix having the same …