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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/70185


    Title: Stochastic dynamical model for stock-stock correlations
    Authors: 馬文忠;胡進錕
    R. E. Amritkar
    Contributors: 應物所
    Date: 2004.08
    Issue Date: 2014-09-29 15:08:27 (UTC+8)
    Abstract: We propose a model of coupled random walks for stock-stock correlations. The walks in the model are coupled via a mechanism that the displacement (price change) of each walk (stock) is activated by the price gradients over some underlying network. We assume that the network has two underlying structures, describing the correlations among the stocks of the whole market and among those within individual groups, respectively, each with a coupling parameter controlling the degree of correlation. The model provides the interpretation of the features displayed in the distribution of the eigenvalues for the correlation matrix of real market on the level of time sequences. We verify that such modeling indeed gives good fitting for the market data of US stocks.
    Relation: Physical Review E,70,026101
    Data Type: article
    Appears in Collections:[應用物理研究所 ] 期刊論文

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