Random magnets and correlations of stock price fluctuations
Random magnets and correlations of stock price fluctuations
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DOI：
10.1016/s0378-4371(02)01049-x
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发表时间：
2002-11-01
影响因子：
3.3
通讯作者：
Stanley, HE
中科院分区：
文献类型：
--
作者：
Rosenow, B;Gopikrishnan, P;Stanley, HE
随机磁体为研究物理学中的竞争相互作用和挫折提供了一个范例。在这里，我们认为，这种范式也适用于研究和解释不同公司股票价格变化之间的相关性：它（i）提供了解释相关性起源的机制，（ii）允许理解在高度相关的本征模的时间序列中幂律相关性的发生，和（iii）是分析最优投资策略的有用框架，其中（反）相关性的知识是降低风险的重要前提。(C)2002 Elsevier Science B.V.保留所有权利。
Random magnets provide a paradigm for the study of competing interactions and frustration in physics. Here, we suggest that this paradigm is also useful for the study and explanation of correlations between stock price changes of different companies: it (i) provides for a mechanism to explain the origin of correlations, (ii) allows to understand the occurrence of power-law correlations in the time series of highly correlated eigenmodes, and (iii) is a useful framework for the analysis of optimal investment strategies where the knowledge of (anti-)correlations is an important prerequisite for the reduction of risk. (C) 2002 Elsevier Science B.V. All rights reserved.