Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Correlation Structure and Fat Tails in Finance: a New Mechanism   Fat tails in financial time series and increase of stocks cross-correlations
in high volatility periods are puzzling facts that ask for new paradigms. Both
points are of key importance in fundamental research as well as in Risk
Management (where extreme losses play a key role). In this paper we present a
new model for an ensemble of stocks that aims to encompass in a unitary picture
both these features. Equities are modelled as quasi random walk variables,
where the non-Brownian components of stocks movements are leaded by the market
trend, according to typical trader strategies. Our model suggests that
collective effects may play a very important role in the characterization of
some significantly statistical properties of financial time series.

18
The categories of this paper are: econ
13
The categories of this paper are: quant-ph
37
The categories of this paper are: supr-con
36
The categories of this paper are: cmp-lg
5
The categories of this paper are: gr-qc
6
The categories of this paper are: astro-ph
34
The categories of this paper are: chem-ph
23
The categories of this paper are: solv-int
11
The categories of this paper are: hep-lat
1
The categories of this paper are: cs
0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
14
The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph
31
The categories of this paper are: ao-sci
12
The categories of this paper are: nucl-th