Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
From MaRDI portal
Publication:3605232
DOI10.1080/14697680701691477zbMath1154.91609arXivphysics/0609053OpenAlexW2150547629MaRDI QIDQ3605232
Christoly Biely, Stefan Thurner
Publication date: 23 February 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0609053
asset pricingadaptive behaviourfinancial time seriesstochastic analysisagent based modellingcomplexity in economics
Related Items (9)
Lead-lag detection and network clustering for multivariate time series with an application to the us equity market ⋮ Random matrix time series ⋮ Financial interaction networks inferred from traded volumes ⋮ Ornstein–Uhlenbeck diffusion of hermitian and non-hermitian matrices—unexpected links ⋮ Spectra of large time-lagged correlation matrices from random matrix theory ⋮ Optimizing a basket against the efficient market hypothesis ⋮ Network and eigenvalue analysis of financial transaction networks ⋮ Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case ⋮ Non-Hermitean Wishart random matrices (I)
Cites Work
- Characteristic vectors of bordered matrices with infinite dimensions
- On the distribution of the roots of certain symmetric matrices
- Large dimension forecasting models and random singular value spectra
- The probability that a random real Gaussian matrix has \(k\) real eigenvalues, related distributions, and the circular law
- “Single ring theorem” and the disk-annulus phase transition
- Abel inversion using total-variation regularization
- Eigenvalue statistics of random real matrices
- Statistical Ensembles of Complex, Quaternion, and Real Matrices
This page was built for publication: Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
