相关论文: Random, but not so much: A parameterization for th…

In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…

We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly-capitalized stocks from the American market and…

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…

Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…

Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to…

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…

We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the…

Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…

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…

In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH…

We introduce a novel framework to financial time series forecasting that leverages causality-inspired models to balance the trade-off between invariance to distributional changes and minimization of prediction errors. To the best of our…

This work contributes to the development of neural forecasting models with novel randomization-based learning methods. These methods improve the fitting abilities of the neural model, in comparison to the standard method, by generating…

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…

Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…

Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating these processes using variance and tail stationarity criteria,…

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…

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as…

In this paper, a time series model with coefficients that take values from random matrix ensembles is proposed. Formal definitions, theoretical solutions, and statistical properties are derived. Estimation and forecast methodologies for…

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time…