290 citations · 298 across the 2 of their papers we have counts for
2 papers
q-fin.ST2011★ 290 cited
Correlation of financial markets in times of crisis
Leonidas Sandoval Junior, Italo De Paula Franca
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linke…
q-fin.GN2011★ 8 cited
Shocks in financial markets, price expectation, and damped harmonic oscillators
Leonidas Sandoval Junior, Italo De Paula Franca
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order…