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Portfolio Optimization and the Random Magnet Problem
B. Rosenow, V. Plerou, P. Gopikrishnan +1
Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross…
Symmetry Breaking in Stock Demand
Vasiliki Plerou, Parameswaran Gopikrishnan, H. Eugene Stanley
Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here…
A Random Matrix Approach to Cross-Correlations in Financial Data
V. Plerou, P. Gopikrishnan, B. Rosenow +3
We analyze cross-correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation…
Quantifying Stock Price Response to Demand Fluctuations
Vasiliki Plerou, Parameswaran Gopikrishnan, Xavier Gabaix +1
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change over a time interval and two different measures of…
Identifying Business Sectors from Stock Price Fluctuations
Parameswaran Gopikrishnan, Bernd Rosenow, Vasiliki Plerou +1
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for…
Statistical Properties of Share Volume Traded in Financial Markets
Parameswaran Gopikrishnan, Vasiliki Plerou, Xavier Gabaix +1
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded…
Economic Fluctuations and Diffusion
Vasiliki Plerou, Parameswaran Gopikrishnan, Luis. A. Nunes Amaral +2
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the r…
Scaling of the distribution of price fluctuations of individual companies
V. Plerou, P. Gopikrishnan, L. A. N. Amaral +2
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major…
Ivory Tower Universities and Competitive Business Firms
Vasiliki Plerou, Luis A. Nunes Amaral, Parameswaran Gopikrishnan +2
There is nowadays considerable interest on ways to quantify the dynamics of research activities, in part due to recent changes in research and development (R&D) funding. Here, we s…
Scaling of the distribution of fluctuations of financial market indices
Parameswaran Gopikrishnan, Vasiliki Plerou, Luis A. Nunes Amaral +2
We study the distribution of fluctuations over a time scale (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately…
The statistical properties of the volatility of price fluctuations
Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau +3
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price c…
Universal and non-universal properties of cross-correlations in financial time series
Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow +2
We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the stat…
Inverse Cubic Law for the Probability Distribution of Stock Price Variations
Parameswaran Gopikrishnan, Martin Meyer, Luis A Nunes Amaral +1
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US sto…