DC Field | Value | Language |
---|---|---|
dc.contributor.author | Eom, C | - |
dc.contributor.author | Jung, WS | - |
dc.contributor.author | Taisei Kaizoji | - |
dc.contributor.author | Seunghwan Kim | - |
dc.date.accessioned | 2016-04-01T02:29:31Z | - |
dc.date.available | 2016-04-01T02:29:31Z | - |
dc.date.created | 2010-03-09 | - |
dc.date.issued | 2009-11-15 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.other | 2009-OAK-0000022510 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/25232 | - |
dc.description.abstract | In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the eigenvalue properties as a function of the number and type of stocks in the correlation matrix. We determined that the value of the eigenvalue increases in proportion with the number of stocks. Furthermore, we noted that the largest eigenvalue maintains its identical properties, regardless of the number and type, whereas other eigenvalues evidence different features. (C) 2009 Elsevier B.V. All rights reserved. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.subject | Econophysics | - |
dc.subject | Random matrix theory | - |
dc.subject | Stock market | - |
dc.subject | FINANCIAL TIME-SERIES | - |
dc.subject | CROSS CORRELATIONS | - |
dc.subject | NUMBER | - |
dc.subject | NETWORKS | - |
dc.subject | RETURNS | - |
dc.subject | MODEL | - |
dc.title | Effect of changing data size on eigenvalues in the Korean and Japanese stock markets | - |
dc.type | Article | - |
dc.contributor.college | 기술경영 대학원 과정 | - |
dc.identifier.doi | 10.1016/J.PHYSA.2009.07.023 | - |
dc.author.google | Eom, C | - |
dc.author.google | Jung, WS | - |
dc.author.google | Kaizoji, T | - |
dc.author.google | Kim, S | - |
dc.relation.volume | 388 | - |
dc.relation.issue | 22 | - |
dc.relation.startpage | 4780 | - |
dc.relation.lastpage | 4786 | - |
dc.contributor.id | 10150087 | - |
dc.relation.journal | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.388, no.22, pp.4780 - 4786 | - |
dc.identifier.wosid | 000270618500009 | - |
dc.date.tcdate | 2019-02-01 | - |
dc.citation.endPage | 4786 | - |
dc.citation.number | 22 | - |
dc.citation.startPage | 4780 | - |
dc.citation.title | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.volume | 388 | - |
dc.contributor.affiliatedAuthor | Jung, WS | - |
dc.identifier.scopusid | 2-s2.0-69549119857 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 5 | - |
dc.description.scptc | 6 | * |
dc.date.scptcdate | 2018-05-121 | * |
dc.type.docType | Article | - |
dc.subject.keywordPlus | CROSS CORRELATIONS | - |
dc.subject.keywordPlus | NUMBER | - |
dc.subject.keywordPlus | NETWORKS | - |
dc.subject.keywordAuthor | Econophysics | - |
dc.subject.keywordAuthor | Random matrix theory | - |
dc.subject.keywordAuthor | Stock market | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
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