相关论文: Analysis of delay correlation matrices

We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…

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…

By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the…

A method to estimate the time-dependent correlation via an empirical bias estimate of the time-delayed mutual information for a time-series is proposed. In particular, the bias of the time-delayed mutual information is shown to often be…

We study the correlations of time delays in a model of chaotic resonance scattering based on the random matrix approach. Analytical formulae which are valid for arbitrary number of open channels and arbitrary coupling strength between…

We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…

Correlation matrices contain a wide variety of spatio-temporal information about a dynamical system. Predicting correlation matrices from partial time series information of a few nodes characterizes the spatio-temporal dynamics of the…

For a large class of quantum systems the statistical properties of their spectrum show remarkable agreement with random matrix predictions. Recent advances show that the scope of random matrix theory is much wider. In this work, we show…

The congestion of a motorway section is propagated to its neighbouring sections, leading to correlations. The resulting correlation matrix encodes the information on congestion. Here, we study symmetrized time-lagged correlations and show…

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate…

We consider the statistics of time delay in a chaotic cavity having $M$ open channels, in the absence of time-reversal invariance. In the random matrix theory approach, we compute the average value of polynomial functions of the time delay…

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…

We study the synchronization of a linear array of globally coupled identical logistic maps. We consider a time-delayed coupling that takes into account the finite velocity of propagation of the interactions. We find globally synchronized…

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…

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…

We examine a system of N=2 coupled non-linear delay-differential equations representing financial market dynamics. In such time delay systems, coupled oscillations have been derived. We linearize the system for small time delays and study…

The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…

We study spectral densities for systems on lattices, which, at a phase transition display, power-law spatial correlations. Constructing the spatial correlation matrix we prove that its eigenvalue density shows a power law that can be…

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…

In wave propagation theories, many problems of multi-sensor systems utilize time delay in their solution in signal processing. This technique finds great utility in seismic exploration and static correction (low-velocity weathering), which…