Kwapień, J.; Drożdż, S.; Oświe¸cimka, P. - In: Physica A: Statistical Mechanics and its Applications 359 (2006) C, pp. 589-606
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly capitalized stocks from the American market and relate the result to the corresponding ensemble of...