Random Matrix techniques used in Markowitz Portfolio
碩士 === 國立東華大學 === 物理學系 === 100 === We select 121 stocks in Taiwan stock market and calculate their correlation matrices in the period from 2008 to 2010. The time lags used are 10 and 30 minutes, and the time lengths are from two weeks to one year. We calculate spectral quantities, such as eigenvalue...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75540977220125892397 |