Related papers: Random matrix theory and the evolution of business…
Reflecting boundary conditions cause two one-dimensional random walks to synchronize if a common direction is chosen in each step. The mean synchronization time and its standard deviation are calculated analytically. Both quantities are…
Multivariate statistical analysis is concerned with observations on several variables which are thought to possess some degree of inter-dependence. Driven by problems in genetics and the social sciences, it first flowered in the earlier…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider…
The random matrix theory is used to bridge the network structures and the dynamical processes defined on them. We propose a possible dynamical mechanism for the enhancement effect of network structures on synchronization processes, based…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models - called conjugate…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
This research article suggests that there are significant benefits in exposing demand planners to forecasting methods using matrix completion techniques. This study aims to contribute to a better understanding of the field of forecasting…
We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of…
In the past few years, the discoveries of small-world and scale-free properties of many natural and artificial complex networks have stimulated significant advances in better understanding the relationship between the topology and the…
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the…
We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive…
Growth rate of real GDP per capita, GDPpc, is represented as a sum of two components, a monotonically decreasing economic trend and fluctuations related to population change. The economic trend is modelled by an inverse function of GDPpc…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been…
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated…
Most models that try to explain economic growth indicate exponential growth paths. In recent years, however, a lively discussion has emerged considering the validity of this notion. In the empirical literature dealing with drivers of…