most citedBuilding portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory

11 citations · 11 across the 1 of their papers we have counts for

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1 paper

q-fin.PM2012★ 11 cited

Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory

Leonidas Sandoval Junior, Adriana Bruscato, Maria Kelly Venezuela

By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de São Paulo) which are cleaned of some of t…