Related papers: Asymmetric matrices in an analysis of financial co…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and…
We introduce a method for describing eigenvalue distributions of correlation matrices from multidimensional time series. Using our newly developed matrix H theory, we improve the description of eigenvalue spectra for empirical correlation…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
The study of correlated time-series is ubiquitous in statistical analysis, and the matrix decomposition of the cross-correlations between time series is a universal tool to extract the principal patterns of behavior in a wide range of…
Correlation matrices are a standard tool in the analysis of the time evolution of complex systems in general and financial markets in particular. Yet most analysis assume stationarity of the underlying time series. This tends to be an…
Financial correlation matrices measure the unsystematic correlations between stocks. Such information is important for risk management. The correlation matrices are known to be ``noise dressed''. We develop a new and alternative method to…
Identifying and quantifying co-dependence between financial instruments is a key challenge for researchers and practitioners in the financial industry. Linear measures such as the Pearson correlation are still widely used today, although…
The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…
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…
It has been shown that, if a model displays long-range (power-law) spatial correlations, its equal-time correlation matrix of this model will also have a power law tail in the distribution of its high-lying eigenvalues. The purpose of this…
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information…
Many applications collect a large number of time series, for example, the financial data of companies quoted in a stock exchange, the health care data of all patients that visit the emergency room of a hospital, or the temperature sequences…
Using the diagrammatic method, we derive a set of self-consistent equations that describe eigenvalue distributions of large correlated asymmetric random matrices. The matrix elements can have different variances and be correlated with each…
Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market conditions to the present one. The…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
We adopt the concept of the correlation matrix to study correlations among sequences of time-extended events occuring repeatedly at consecutive time-intervals. As an application we analyse the magnetoencephalography recordings obtained from…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…