Related papers: A Random Matrix Approach to Cross-Correlations in …
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges.…
Financial stock return correlations have been analyzed through the lens of random matrix theory to differentiate the underlying signal from spurious correlations. The continuous spectrum of the eigenvalue distribution derived from the stock…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
Random contractions (sub-unitary random matrices) appear naturally when considering quantized chaotic maps within a general theory of open linear stationary systems with discrete time. We analyze statistical properties of complex…
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations of these returns…
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations…
Covariance matrices estimated from short, noisy, and non-Gaussian financial time series are notoriously unstable. Empirical evidence suggests that such covariance structures often exhibit power-law scaling, reflecting complex, hierarchical…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. We investigate the stability of the…
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…
This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytical techniques, such as the Replica formalism and Free…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
Since it was first applied to the study of nuclear interactions by Wigner and Dyson, almost 60 years ago, Random Matrix Theory (RMT) has developed into a field of its own within applied mathematics, and is now essential to many parts of…
This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the…
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…
Even within small organs like pancreatic islets, different endocrine cell types and subtypes form a heterogeneous collective to sense the chemical composition of the extracellular solution and compute an adequate hormonal output. Erroneous…
Random-matrix theory is applied to transition-rate matrices in the Pauli master equation. We study the distribution and correlations of eigenvalues, which govern the dynamics of complex stochastic systems. Both the cases of identical and of…