1k citations · 5.8k across the 14 of their papers we have counts for
4 papers · 1 filter
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…