An Analysis of Eigenvectors of a Stock Market Cross-Correlation Matrix.

Hieu T. Nguyen Phuong N. U. Tran Quang Nguyen

Published in: ECONVN (2018)

Keyphrases

stock market
correlation matrix
random matrix theory
covariance matrix
financial time series
stock index futures
neural network
objective function
feature vectors
sample size
markov decision processes
stock price