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Ricardo Coelho (), Peter Richmond, Stefan Hutzler and Brian Lucey ()
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Ricardo Coelho: School of Physics, Trinity College Dublin, Dublin 2, Ireland
Peter Richmond: School of Physics, Trinity College Dublin, Dublin 2, Ireland
Stefan Hutzler: School of Physics, Trinity College Dublin, Dublin 2, Ireland

Advances in Complex Systems (ACS), 2008, vol. 11, issue 05, 655-668

Abstract: Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to separate stocks according to their geographical location, provided that they are not strongly correlated. These results are compared with the results from random time series created using the market model, where the main factor is the mean of returns of the stocks of each sector.

Keywords: Econophysics; random matrix theory; random time series (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1142/S0219525908001970

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