Related papers: A Random Matrix Approach to Cross-Correlations in …
A recursive method is derived to calculate all eigenvalue correlation functions of a random hermitian matrix in the large size limit, and after smoothing of the short scale oscillations. The property that the two-point function is…
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices…
We study the distribution of the number of (non-backtracking) periodic walks on large regular graphs. We propose a formula for the ratio between the variance of the number of $t$-periodic walks and its mean, when the cardinality of the…
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…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law…
In this article we study the fluctuation of linear statistics of eigenvalues of circulant, symmetric circulant, reverse circulant and Hankel matrices. We show that the linear spectral statistics of these matrices converges to the Gaussian…
We study the behavior of two-time correlation functions at late times for finite system sizes considering observables whose (one-point) average value does not depend on energy. In the long time limit, we show that such correlation functions…
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…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
Since 2008, the network analysis of financial systems is one of the most important subjects in economics. In this paper, we have used the complexity approach and Random Matrix Theory (RMT) for analyzing the global banking network. By…
The major study by Bordo and Helbing (2003) analyses the business cycle in Western economies 1881-2001. They examine four distinct periods in economic history, and conclude that there is a secular trend towards greater synchronisation for…
We propose a new approach, termed Realized Risk Measures (RRM), to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using high-frequency financial data. It extends the Realized Quantile (RQ) approach proposed by Dimitriadis and…
Random Matrix Theory (RMT) has successfully modeled diverse systems, from energy levels of heavy nuclei to zeros of $L$-functions. Many statistics in one can be interpreted in terms of quantities of the other; for example, zeros of…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
We present experimental and theoretical results for the fluctuation properties in the incomplete spectra of quantum systems with symplectic symmetry and a chaotic dynamics in the classical limit. To obtain theoretical predictions, we extend…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
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…