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- Vasiliki Plerou, P. Gopikrishnan, Bernd Rosenow, Luis A. Nunes Amaral, Thomas Guhr, H. Eugene Stanley
- Physical review. E, Statistical, nonlinear, and…
- 2002

We analyze cross correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of… (More)

- P. Gopikrishnan, Vasiliki Plerou, Luís A. Nunes Amaral, Martin Meyer, H. Eugene Stanley
- Physical review. E, Statistical physics, plasmas…
- 1999

We study the distribution of fluctuations of the S&P 500 index over a time scale deltat by analyzing three distinct databases. Database (i) contains approximately 1 200 000 records, sampled at 1-min… (More)

We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate… (More)

- Vasiliki Plerou, P. Gopikrishnan, Luís A. Nunes Amaral, Martin Meyer, H. Eugene Stanley
- Physical review. E, Statistical physics, plasmas…
- 1999

We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major U.S. stock markets:… (More)

- Xavier Gabaix, P. Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley
- Nature
- 2003

Insights into the dynamics of a complex system are often gained by focusing on large fluctuations. For the financial system, huge databases now exist that facilitate the analysis of large… (More)

- Yingjie Liu, P. Gopikrishnan, Pierre Cizeau, Martin Meyer, C. K. Peng, H. Eugene Stanley
- Physical review. E, Statistical physics, plasmas…
- 1999

We study the statistical properties of volatility, measured by locally averaging over a time window T, the absolute value of price changes over a short time interval deltat. We analyze the S&P 500… (More)

We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of… (More)

The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the… (More)

It is common knowledge that any two rms in the economy are correlated. Even rms belonging to di erent sectors of an industry may be correlated because of “indirect” correlations. How can we analyze… (More)

- Vasiliki Plerou, P. Gopikrishnan, Xavier Gabaix, H. Eugene Stanley
- Physical review. E, Statistical, nonlinear, and…
- 2002

We empirically address the question of how stock prices respond to changes in demand. We quantify the relations between price change G over a time interval Deltat and two different measures of demand… (More)