108 citations · 435 across the 38 of their papers we have counts for
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cond-mat.stat-mech2004★ 8 cited
Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market
Diane Wilcox, Tim Gebbie
We investigate serial correlation, periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matri…
cond-mat.stat-mech2004★ 77 cited
An analysis of Cross-correlations in South African Market data
Diane Wilcox, Tim Gebbie
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data fo…