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cond-mat.stat-mech2000★ 25 cited
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…
cond-mat.stat-mech2000★ 325 cited
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…