Excess covariance in financial
author: Matteo Marsili,
ICTP - The Abdus Salam International Centre for Theoretical Physics
published: Oct. 15, 2008, recorded: September 2008, views: 3095
published: Oct. 15, 2008, recorded: September 2008, views: 3095
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Description
I discuss the properties of correlations between returns of financial assets, both static and dynamic, and the challenges they pose to understanding the dynamics of financial markets. Next I will discuss how these questions can be addressed in theoretical models, showing how these features are related to traders' behavior.
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