Vasiliki Plerou

TL;DR: This model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants, and explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.

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.

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.

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.

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.