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


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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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