P
Parameswaran Gopikrishnan
Researcher at Boston University
Publications - 64
Citations - 8501
Parameswaran Gopikrishnan is an academic researcher from Boston University. The author has contributed to research in topics: Econophysics & Random matrix. The author has an hindex of 32, co-authored 64 publications receiving 8092 citations.
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Journal ArticleDOI
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
Vasiliki Plerou,Vasiliki Plerou,Parameswaran Gopikrishnan,Bernd Rosenow,Luís A. Nunes Amaral,H. Eugene Stanley +5 more
TL;DR: In this paper, the authors used random matrix theory to analyze the cross-correlation matrix C of stock price changes of the largest 1000 US companies for the 2-year period 1994-1995.
Journal ArticleDOI
Random matrix approach to cross correlations in financial data.
Vasiliki Plerou,Vasiliki Plerou,Parameswaran Gopikrishnan,Bernd Rosenow,Bernd Rosenow,Luís A. Nunes Amaral,Thomas Guhr,Thomas Guhr,H. Eugene Stanley +8 more
TL;DR: A analysis of cross correlations between price fluctuations of different stocks using methods of random matrix theory finds that the largest eigenvalue corresponds to an influence common to all stocks, and discusses applications to the construction of portfolios of stocks that have a stable ratio of risk to return.
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Scaling of the distribution of fluctuations of financial market indices.
Parameswaran Gopikrishnan,Vasiliki Plerou,Vasiliki Plerou,Luís A. Nunes Amaral,Martin Meyer,H. Eugene Stanley +5 more
TL;DR: Estimates of alpha consistent with those describing the distribution of S&P 500 daily returns are found, and for time scales longer than (deltat)x approximately 4 d, the results are consistent with a slow convergence to Gaussian behavior.
Journal ArticleDOI
Statistical properties of the volatility of price fluctuations.
Yanhui Liu,Parameswaran Gopikrishnan,Pierre Cizeau,M. Meyer,Chung-Kang Peng,Chung-Kang Peng,H. E. Stanley +6 more
TL;DR: The cumulative distribution of the volatility is consistent with a power-law asymptotic behavior, characterized by an exponent mu approximately 3, similar to what is found for the distribution of price changes.
Journal ArticleDOI
Scaling of the distribution of price fluctuations of individual companies.
Vasiliki Plerou,Vasiliki Plerou,Parameswaran Gopikrishnan,Luís A. Nunes Amaral,Martin Meyer,H. Eugene Stanley +5 more
TL;DR: A phenomenological study of stock price fluctuations of individual companies, which finds that the tails of the distributions can be well described by a power-law decay, well outside the stable Lévy regime.