publication . Thesis . 2003

Co-movements among financial stocks and covariance matrix analysis

Sharifi, Saba;
Open Access English
  • Published: 01 Jan 2003
  • Publisher: Dublin City University. School of Computing
  • Country: Ireland
The major theories of finance leading into the main body of this research are discussed and our experiments on studying the risk and co-movements among stocks are presented. This study leads to the application of Random Matrix Theory (RMT) The idea of this theory refers to the importance of the empirically measured correlation (or covariance) matrix, C, in finance and particularly in the theory of optimal portfolios However, this matrix has recently come into question, as a large part of it does not contain useful information but rather noise. Therefore, recent work has indicated that the theory of optimal portfolios, which depends on C, is not adequate. We use ...
free text keywords: Mathematics, Financial markets; Mathematical models; Random matrices
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