政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/70185

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51580989 Online Users : 937

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 理學院 > 應用物理研究所 > 期刊論文 > Item 140.119/70185

Please use this identifier to cite or link to this item: https://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

Files in This Item:

File	Description	Size	Format
026101.pdf		1002Kb	Adobe PDF2	1048	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...