| dc.contributor | 應物所 | en_US |
| dc.creator (作者) | 馬文忠;胡進錕 | zh_TW |
| dc.creator (作者) | R. E. Amritkar | en_US |
| dc.date (日期) | 2004.08 | en_US |
| dc.date.accessioned | 29-Sep-2014 15:08:27 (UTC+8) | - |
| dc.date.available | 29-Sep-2014 15:08:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2014 15:08:27 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/70185 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 1026474 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Physical Review E,70,026101 | en_US |
| dc.title (題名) | Stochastic dynamical model for stock-stock correlations | en_US |
| dc.type (資料類型) | article | en |
