Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues

DOI10.1016/j.physa.2017.09.066OpenAlexW2756784991MaRDI QIDQ2148646

Chun-Xiao Nie

Publication date: 24 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.09.066

zbMATH Keywords

time seriesdimensionrandom matrix theorycluster structurefinancial market

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Recognition of the scale-free interval for calculating the correlation dimension using machine learning from chaotic time series, Applying correlation dimension to the analysis of the evolution of network structure

Cites Work

• Cleaning large correlation matrices: tools from random matrix theory
• Dynamics of cluster structure in financial correlation matrix
• Clustering of time series data -- a survey
• Hidden noise structure and random matrix models of stock correlations
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