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We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of…
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
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…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how…
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
We investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created by the random matrix theory (RMT). We used individual…
We analyze cross-correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of…
Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the…
In finance, Random Matrix Theory (RMT) is an important tool for filtering out noise from large datasets, revealing true correlations among stocks, enhancing risk management and portfolio optimization. In this study, we use RMT to filter out…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE)…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…